理解运筹学中二次规划与投资组合

• 二次规划（Quadratic programming）

  二次规划，是运筹学中一种特殊类型的最优化问题。

• Quadratic programming(QP)

  Quadratic programming is the process of solving a special type of mathematical opetimization problem - sepcially, a (linearly constrained) quadratic optimization problem, that is the problem of optimizing (minimizing or maximizing) a quadratic function of several variables subject to linear constraints on these variables.

  Quadratic programming is a particular type of nonlinear programming.

  quadratic function

  In algebra, a quadratic function, a quadratic polynomial, a polynomial of degree 2, or simply a quadratic, is a polynomial function with one or more variables(项) in which the highest-degree（次） term is of the second degree.

  二次函数，可能是二次单变量函数，也可能是二次多项式函数。

  The objective function can contain bilinear or up to second order polynomial terms, and the constraints are linear and can be both equalities and inequalities.

• References

1. wikipedia : quadratic programming
2. Northwestern University Chemical Process Design Open Textbook : Quadratic programming
3. Optimization Theory : Chapter 3