Mixed Integer Programming using lsqlin/quadprog

Hi everyone!

I'm using lsqlin for an optimization problem. I would need mixed integers for some of the constraints.

Is there a possibility to use lsqlin together with mixed integers?

I think I could also use quadprog for my problem, but can not find any information about quadprog together with mixed integers either. Is there a way to use mixed integers with quadprog?

Thank you for your help!

Answer 1

[Ben Drebing]

I don't think that either of those functions can be used with mixed integer. But there is an example online that shows how to break down a mixed integer quadratic problem down into a series of linear problems. Check it out and see if it helps: http://www.mathworks.com/help/optim/examples/mixed-integer-quadratic-programming-portfolio-optimization.html

[Ben Drebing]

Also, I believe you can use genetic algorithms to solve such problems as well. Here is a link that describes that: https://www.mathworks.com/help/gads/mixed-integer-optimization.html

[Thomas]

Thank you very much for your reply!

I've tried both methods, unfortunately I'm not able to transform my problem into a form which can be used in the first possibility (although I thought I would be).

I've also tried the ga which seems to work, but it is terribly slow compared to the lsqlin and the quality of the result is not as good.

I'm going to try to use fmincon instead.

Anyway, thank you for your help!