Tight SDP relaxations for cardinality-constrained problems
Fuente:
arXiv
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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2021
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| _version_ | 1866909096982085632 |
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| author | Wiegele, Angelika Zhao, Shudian |
| author_facet | Wiegele, Angelika Zhao, Shudian |
| contents | We model the cardinality-constrained portfolio problem using semidefinite matrices and investigate a relaxation using semidefinite programming. Experimental results show that this relaxation generates tight lower bounds and even achieves optimality on many instances from the literature. This underlines the modeling power of semidefinite programming for mixed-integer quadratic problems. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2107_11338 |
| institution | arXiv |
| publishDate | 2021 |
| record_format | arxiv |
| spellingShingle | Tight SDP relaxations for cardinality-constrained problems Wiegele, Angelika Zhao, Shudian Optimization and Control We model the cardinality-constrained portfolio problem using semidefinite matrices and investigate a relaxation using semidefinite programming. Experimental results show that this relaxation generates tight lower bounds and even achieves optimality on many instances from the literature. This underlines the modeling power of semidefinite programming for mixed-integer quadratic problems. |
| title | Tight SDP relaxations for cardinality-constrained problems |
| topic | Optimization and Control |
| url | https://arxiv.org/abs/2107.11338 |