Matlab-based mixed-integer linear and nonlinear solver (http://www.ismp2012.org/show-abs?abs=85) In this talk, we present details of MILANO (mixed-integer linear and nonlinear optimizer), a Matlab-based toolbox for solving mixed- integer optimization problems. Our focus will be on interior-point meth- ods for second-order cone programming problems and their extensions to mixed-integer second-order cone programming problems and non- linear programs with second-order cone constraints. Numerical results from portfolio optimization, supply chain management, and data mining will be presented. (Source: http://plato.asu.edu)
References in zbMATH (referenced in 1 article )
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- Benson, Hande Y.; Sağlam, Ümit: Smoothing and regularization for mixed-integer second-order cone programming with applications in portfolio optimization (2013)