Originally posted by: dparaskevop
Dear all,
I am trying to minimize the Variance of a set of variables subject to some constraints. My obj function looks like the following expression:
MIN (SUM( X(i+1)-X(i) -m)^2) for all i in the set of X, and m is the mean of all the incumbent X(i+1)-X(i). Using the proper format I print an lp file that looks like :
MINIMIZE
+
X(17)^2+X(47)^2+m^2-2X(47)*X(17)-2m*X(47)-2m*X(17)/2
+
X(17)^2+X(1)^2+m^2-2X(1)*X(17)-2m*X(1)-2m*X(17)/2
+
X(26)^2+X(17)^2+m^2-2X(17)*X(26)-2m*X(17)-2m*X(26)/2
+
X(35)^2+X(26)^2+m^2-2X(26)*X(35)-2m*X(26)-2m*X(35)/2
SUBJECT TO
...
from all the X, I need specific X to participate in the objective, that's why you see only a limited number of X, i.e,, (X(1), X(17), X(47), (X26), X(35)).
What I get is CPLEX Error 5012, Q in objective is not symmetric.
And I have no clue where the problem is.
Thank you guys very much in advance-I am desperately looking for solution to this problem,
Best wishes,
Dimitris
#DecisionOptimization#MathematicalProgramming-General