N L

Jaromil,  Thanks for the advice. I do not think I know enough on reduction of the number of quadratic term. I tried to figure out and not yet achieved. I watched a gurobi tutorial that mentioned ab...

We don’t need to model the max function. M can be actually calculated when we get the observations y1…yT by the formula For example, we got observations yt (t=1…97), [1] -1.2104033 -0.8765552 -1.02...

Hi Jaromil, thanks very much for your reply. I write my problem details in below. Looking forward to your kind advice.    yt, t=1,…T are observations. Let y denote the (T × 1) vector of yt ’s and 1...