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PORTSNQP.SIF
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***************************
* SET UP THE INITIAL DATA *
***************************
NAME PORTSNQP
* Problem :
* *********
* A convex quadratic program of portfolio type
* The objective function is of the form
*
* sum (i=1,n) ( x_i - ( 2 i - n ) / n )^2
*
* There is a single equality constraint of the form
*
* sum(i=1,n) x_i = 1
*
* Finally, there are simple bounds
*
* 0 <= x_i (i=1,n)
* SIF input: Nick Gould, June 2001
* classification QLR2-AN-V-1
* The number of equality constraints
*IE N 10
*IE N 100
*IE N 1000
*IE N 10000
IE N 100000
*IE N 1000000
* The number of block-variables.
* Other useful values.
IE 1 1
RI RN N
VARIABLES
DO I 1 N
X X(I)
ND
GROUPS
DO I 1 N
RI RI I
RM 2I RI 2.0
R- 2I-N 2I RN
R/ C 2I-N RN
XN O(I) X(I) 1.0
XE E X(I) 1.0
ZE E2 X(I) C
ND
XN O X(N) 1.0
XN O 'SCALE' -0.5
CONSTANTS
DO I 1 N
RI RI I
RM 2I RI 2.0
R- 2I-N 2I RN
R/ C 2I-N RN
ZE PORTSNQP O(I) C
ND
XE PORTSNQP E 1.0
XE PORTSNQP E2 0.5
BOUNDS
DO I 1 N
XL PORTSNQP X(I) 0.0
ND
START POINT
XV PORTSNQP 'DEFAULT' 0.5
GROUP TYPE
GV L2 GVAR
GROUP USES
DO I 1 N
XT O(I) L2
ND
XT O L2
OBJECT BOUND
* Solution
ENDATA
*********************
* SET UP THE GROUPS *
* ROUTINE *
*********************
GROUPS PORTSNQP
INDIVIDUALS
T L2
F GVAR * GVAR
G GVAR + GVAR
H 2.0
ENDATA