In 2013, Buchheim and Wiegele introduced a quadratic optimisation problem, in which the domain of each variable is a closed subset of the reals. This problem includes several other important problems as special cases. We study some convex sets and polyhedra associated with the problem, and derive several families of strong valid inequalities. We also present some encouraging computational results, obtained by applying our inequalities to (a) integer quadratic programs with box constraints and (b) portfolio optimisation problems with semi-continuous variables.
Galli L., Letchford A.N. (2021). Valid inequalities for quadratic optimisation with domain constraints. DISCRETE OPTIMIZATION, 41, 1-19 [10.1016/j.disopt.2021.100661].
Valid inequalities for quadratic optimisation with domain constraints
Galli L.;
2021
Abstract
In 2013, Buchheim and Wiegele introduced a quadratic optimisation problem, in which the domain of each variable is a closed subset of the reals. This problem includes several other important problems as special cases. We study some convex sets and polyhedra associated with the problem, and derive several families of strong valid inequalities. We also present some encouraging computational results, obtained by applying our inequalities to (a) integer quadratic programs with box constraints and (b) portfolio optimisation problems with semi-continuous variables.| File | Dimensione | Formato | |
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