The MOSEK Python optimizer API manual Version 7.0 (Revision 141)

8.1. PORTFOLIO OPTIMIZATION 113
Variable Length Offset
x n 1
s 1 n+1
t n n+2
c n 2n+2
v n 3n+2
z n 4n+2
f(:) T 3n 7n+2
g(:) T 3n 10n+2
Figure 8.2: Storage layout for the ˆx
for
j = 1 : n
ˆx j = x j
A 1,j = 1.0
A 2:n+1,j = G T j,1:n
A n+1+j,j = −1.0
A 2n+1+j,j = 1.0
ˆx n+1 = s
for
for
for
for
for
for
j = 1 : n
ˆx n+1+j = t j
A 1+j,n+1+j = −1.0
j = 1 : n
ˆx 2n+1+j = c j
A 1,2n+1+j = m j
A 3n+1+3(j−1)+2,2n+1+j = 1.0
j = 1 : n
ˆx 3n+1+j = v j
A 3n+1+3(j−1)+1,3n+1+j = 1.0
A 6n+1+3(j−1)+3,3n+1+j = 1.0
j = 1 : n
ˆx 4n+1+j = z j
A 1+n+j,4n+1+j = 1.0
A 1+2n+j,4n+1+j = 1.0
A 3n+1+3(j−1)+3,4n+1+j = 1.0
A 6n+1+3(j−1)+1,4n+1+j = 1.0
j = 1 : n
ˆx 7n+1+3(j−1)+1 = f j,1
A 3n+1+3(j−1)+1,7n+(3(j−1)+1 = −1.0
ˆx 7n+1+3(j−1)+2 = f j,2
A 3n+1+3(j−1)+2,7n+(3(j−1)+2 = −1.0
ˆx 7n+1+3(j−1)+3 = f j,3
A 3n+1+3(j−1)+3,7n+(3(j−1)+3 = −1.0
j = 1 : n
ˆx 10n+1+3(j−1)+1 = g j,1
A 6n+1+3(j−1)+1,7n+(3(j−1)+1 = −1.0
ˆx 10n+1+3(j−1)+2 = g j,2
A 6n+1+3(j−1)+2,7n+(3(j−1)+2 = −1.0
ˆx 10n+1+3(j−1)+3 = g j,3
A 6n+1+3(j−1)+3,7n+(3(j−1)+3 = −1.0