FICO Xpress Optimization Examples Repository: Solving a non-linear problem by recursion

FICO Xpress Optimization Examples Repository

Solving a non-linear problem by recursion

Description

A non-linear problem (quadratic terms in the constraints) is solved via successive linear programming (SLP, also referred to as recursion). The constraint coefficients are changed iteratively.

recurse_dnet.zip

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Source Files

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RecursiveFinancialPlanning.cs	[download]
RecursiveFinancialPlanning.csproj	[download]

RecursiveFinancialPlanning.csproj

<Project Sdk="Microsoft.NET.Sdk">

  <PropertyGroup>
    <OutputType>Exe</OutputType>
    <TargetFramework>net5.0</TargetFramework>

    <IsPackable>false</IsPackable>
    <XpressExampleFiles Condition="'$(XpressExampleFiles)'==''">../../../data</XpressExampleFiles>
  </PropertyGroup>

  <ItemGroup>
    <PackageReference Include="FICO.Xpress.XPRSdn" Version="41.1.1" /> <!-- Version 41.1.1 or later -->
  </ItemGroup>
  
</Project>