Quadratic Programs (QPs)

Quadratic Programming (QP) problems are an extension of Linear Programming (LP) problems where the objective function may include a second order polynomial. An example of this is where the user wants to minimize the statistical variance (a quadratic function) of the solution values.

The FICO Xpress Optimizer can be used directly for solving QP problems with support for quadratic objectives in the MPS and LP file formats and library routines for loading QPs and manipulating quadratic objective functions. Note that the Optimizer requires the quadratic function to be convex see section Convexity for a description about convexity)