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SDP diagonalizations and perspective cuts for a class of nonseparable MIQP

Academic Article
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
Authors of the University:
GENTILE CLAUDIO
Handle:
https://iris.cnr.it/handle/20.500.14243/170239
Published in:
OPERATIONS RESEARCH LETTERS
Journal
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