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non linear programming

non linear programming

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Published by: api-3774614 on Oct 16, 2008
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07/27/2014

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Lecture 5: Non-Linear
Programming (NLP) and The
Markowitz portfolio model
Thomas Stidsen
1
Learning Objectives
\u2022General introduction to Non-Linear Pro-
gramming (NLP)

\u2022Warn of a number of NLP problems
\u2022Introduction to the Markowitz portfolio model.
\u2022Formulation and solution of nonlinear mod-

els in GAMS.
\u2022Learn the GAMS looping and printing fa-
cilities.
2
Why NLP ?

Not all problems can be modeled su\ufb03ciently well with \u201cjust\u201d Linear Programming (LP) or Mixed Integer Linear Programming (MIP). In these cases we may need Non-Linear Program-

ming (NLP) another type of mathematical model
where non-linearities are allowed in the objec-
tive function and in the constraints.
3

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