Publication Date:
2007
abstract:
We present a new approach, requiring the solution of a SemiDefinite
Program, for decomposing the Hessian of a nonseparable Mixed-Integer
Quadratic problem to permit using perspective cuts to improve its
continuous relaxation bound. The new method favorably compares with
a previously proposed one requiring a minimum eigenvalue
computation.
Iris type:
01.01 Articolo in rivista
Keywords:
Mixed-Integer Quadratic Programs; Valid Inequalities; SemiDefinite Programming; Portfolio Optimization
List of contributors:
Frangioni, Antonio; Gentile, Claudio
Published in: