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I am looking for (sources of) convex quadratic programming instances with linear constraints. I am open for both continuous and mixed integer problems, but do not want randomly generated instances.

I am aware of QPLIB, a collection of various types of convex/noncovex, integer/continuous, linearly constrained/quadratically constrained quadratic programmes.

I am also aware of the Maros and Meszaros test set.

Pika Supports Ukraine
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Michael Feldmeier
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2 Answers2

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There are at least three more problem libraries that you can access.

  1. OR-Lib has instances of Quadratic Assignment/Knapsack/Minimum spanning tree that you can use.
  2. MINLP-Lib has several QP, BQP, IQP instances that you can filter by convexity.
  3. PrincetonLib chapter 2 problems.

I think that you can apart of it come up with synthetic instances which are not completely random (you provide certain structure) easily, like Quadratic assignment problems.

David Bernal
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    Thanks! I think all the problems in PrincetonLib Chapter 2 are nonconvex. QAP usually is nonconvex as well, but OR-Lib also seems to have portfolio rebalancing/optimization instances, which might be convex. MINLP-Lib has some overlap with QPLIB, but there are some more in there. – Michael Feldmeier Jun 01 '19 at 08:51
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You can reformulate Quadratic Programs as Second Order Conic Programs (SOCPs). Therefore, you can use many conic benchmark libraries and filter SOCPs.

For example, Conic Benchmark Library can be a good start!

independentvariable
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    But not every SOCP can be reformulated as a convex QP with linear constraints, right? My question aims at the situation of having a new solver for convex, linearly constrained QP and wanting to test it with as many problem instances as possible. – Michael Feldmeier May 31 '19 at 17:49
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    Yes, i mean you can find the linearly constrained qp's. I am looking if there is a general library for what you look for. – independentvariable May 31 '19 at 18:21