StatusSwitchingQP.jl

Status Switching Method for Quadratic Programming and Linear Programming

Features • Installation • License • Documentation

StatusSwitchingQP.jl solves the following convex quadratic programming problems (called SSQP):

$$ \begin{array} [c]{cl} \min & \frac{1}{2}\mathbf{x}^{\prime}\mathbf{Vx}+\mathbf{x}^{\prime} \mathbf{q}\\ s.t. & \mathbf{Ax}=\mathbf{b}\in\mathbb{R}^{M}\\ & \mathbf{Gx}\leq\mathbf{g}\in\mathbb{R}^{J}\\ & \boldsymbol{d}\leq\mathbf{x}\leq\boldsymbol{u}\in\mathbb{R}^{N} \end{array} $$

with positive semi-definite symmetric matrix $\mathbf{V}\in\mathbb{R}^{N\times N}$.

Features

• Fast and Accurate: Speed and Accuracy
• Open Source: Our code is available on GitHub and distributed under the MIT License
• Arbitrary Precision Arithmetic: fully support for BigFloat
• Dense Matrix: For portfolio selection, and $\min(N, M+J) = O(10^2)$

Installation

StatusSwitchingQP.jl can be added by

• import Pkg; Pkg.add("StatusSwitchingQP")
• pkg> add StatusSwitchingQP
• pkg> dev StatusSwitchingQP for testing nightly version. To use the registered version again pkg> free StatusSwitchingQP

License 🔍

This project is licensed under the MIT License - see the LICENSE file for details.