Tight SDP Relaxations for Cardinality-Constrained Problems

被引：0
|
作者：
Wiegele, Angelika [1 ]
Zhao, Shudian [1 ]
机构：
[1] Alpen Adria Univ Klagenfurt, Inst Math, Univ Str 65-67, A-9020 Klagenfurt, Austria
来源：
OPERATIONS RESEARCH PROCEEDINGS 2021 | 2022年
关键词：
Semidefinite programming; Cardinality-constrained problem; Mixed-integer nonlinear programming; PROGRAMS;
D O I：
10.1007/978-3-031-08623-6_26
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
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.
引用
收藏
页码：167 / 172
页数：6
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