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*Subject*: **Re: [math-optimize-discuss] Scope**

*From*:**Alan King <kingaj@us.ibm.com>***To*: leo@sie.arizona.edu*Date*: Tue, 10 Aug 2004 11:43:48 +0200

Hi Leo, I think Kipp had it right before, so I am just expanding on what he wrote. The issue is that for some purposes solvers would like to be able to access more than just the model coefficients. Concretely, let us suppose for discussion a portfolio optimization model with a representation of the returns R in terms of underlying factors Y: Model { sets { I;J;} data { F[I,J]; D[I]; R[I]; Y[J]; LAMBDA; TARGET;} variables { x[I];z;RISK;RETURN; } equations {R := sum[J] F*Y + D; // factor model RETURN := sum[I] R*x; RISK := max (TARGET- RETURN,0); z:= RETURN - LAMBDA*RISK; } } There are many methods that could be employed to propose a solution for this problem: mean-lower partial mean, mean-semivariance, stochastic recourse programming, robust optimization, etc, etc. Each one has requirements for access to the information in the data, sets, and equation stanzas. Obviously, the most important is to be able to access the factor model. My point is that a standard that supports the exposure of the relationship between the information in the model stanzas and the final model coefficients will help promote a faster pace of development and deployment of novel solution methods --- of course in stochastic programming, but also possibly in other fields like nonlinear. Alan Alan King Mathematical Sciences, IBM Research http://www.research.ibm.com/ http://www.research.ibm.com/people/k/kingaj/ Campus Relationship Manager: University of Washington http://www.washington.edu http://www.ibm.com/university Leo Lopes <leo@sie.arizona. edu> To math-optimize-discuss@lists.oasis-o 08/10/2004 01:15 pen.org AM cc Subject Please respond to [math-optimize-discuss] Scope leo Dear All, This message is in response to Kipp's and Alan's discussion. Personally, I'd be really happy if we got the persistent representation problem taken care of. Just to make sure: Alan, could you expand a little on your description of "nterfaces between modeling languages, solvers, and data sources"? Did you mean something like OSI, something like FML, or something else? Thanks, Leo. -- ======================================================================== Leonardo B. Lopes leo@sie.arizona.edu Assistant Professor (520)626-1780 SIE - University of Arizona http://www.sie.arizona.edu/faculty/leolopes

**References**:**Scope***From:*Leo Lopes <leo@sie.arizona.edu>

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