QP Formulation

Domain concepts for quadratic programming. No API or interface details here. QP support in cuOpt is currently in beta.

What is QP

• Objective: Quadratic in the variables (e.g. x², x·y terms). Example: portfolio variance xᵀQx.
• Constraints: Linear only. cuOpt does not support quadratic constraints.

Important domain rule: minimize only

QP objectives must be minimization. To maximize a quadratic expression, negate it and minimize; then negate the optimal value.

Required questions (problem formulation)

Ask these if not already clear: