Computational study of a family of mixed-integer quadratic programming problems
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Cites work
- A FAST ALGORITHM FOR SOLVING LARGE SCALE MEAN-VARIANCE MODELS BY COMPACT FACTORIZATION OF COVARIANCE MATRICES
- A lift-and-project cutting plane algorithm for mixed 0-1 programs
- Computational experience with parallel mixed integer programming in a distributed environment
- scientific article; zbMATH DE number 3912096 (Why is no real title available?)
- scientific article; zbMATH DE number 3744430 (Why is no real title available?)
- scientific article; zbMATH DE number 193411 (Why is no real title available?)
- Intersection Cuts—A New Type of Cutting Planes for Integer Programming
- Large-Scale Portfolio Optimization
- Mixed 0-1 Programming by Lift-and-Project in a Branch-and-Cut Framework
- Parallel Branch-and-Bound Algorithms for General Mixed Integer Programming on the CM-5
- Symmetric indefinite systems for interior point methods
Cited in
(only showing first 100 items - show all)- Portfolio optimization with an envelope-based multi-objective evolutionary algorithm
- A note on solving quadratic programs using mixed-integer programming
- Simulated annealing for complex portfolio selection problems.
- Models for representing piecewise linear cost functions
- A linearization method for mixed 0--1 polynomial programs
- Heuristics for cardinality constrained portfolio optimization
- A new efficiently encoded multiobjective algorithm for the solution of the cardinality constrained portfolio optimization problem
- Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization
- Strong formulations for quadratic optimization with M-matrices and indicator variables
- Minimizing the tracking error of cardinality constrained portfolios
- Second-order optimality conditions and improved convergence results for regularization methods for cardinality-constrained optimization problems
- Restricted Robinson constraint qualification and optimality for cardinality-constrained cone programming
- Extended formulations in mixed integer conic quadratic programming
- Sparse tangent portfolio selection via semi-definite relaxation
- Quadratic cone cutting surfaces for quadratic programs with on-off constraints
- Dynamic trading under integer constraints
- A local relaxation method for the cardinality constrained portfolio optimization problem
- Branch-and-cut for separable piecewise linear optimization and intersection with semi-continuous constraints
- Time-consistent multiperiod mean semivariance portfolio selection with the real constraints
- Convergent inexact penalty decomposition methods for cardinality-constrained problems
- Sequential optimality conditions for cardinality-constrained optimization problems with applications
- An augmented Lagrangian method for cardinality-constrained optimization problems
- Constructing two-level \(Q_B\)-optimal screening designs using mixed-integer programming and heuristic algorithms
- A disjunctive cut strengthening technique for convex MINLP
- A combinatorial optimization approach to scenario filtering in portfolio selection
- Subset selection for multiple linear regression via optimization
- The complexity results of the sparse optimization problems and reverse convex optimization problems
- Equally weighted cardinality constrained portfolio selection via factor models
- Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization
- On the weak stationarity conditions for mathematical programs with cardinality constraints: a unified approach
- Valid inequalities for quadratic optimisation with domain constraints
- Semi-continuous network flow problems
- Solving \(\ell_0\)-penalized problems with simple constraints via the Frank-Wolfe reduced dimension method
- Optimal portfolio selection for the small investor considering risk and transaction costs
- Heuristic algorithms for the cardinality constrained efficient frontier
- Simplex QP-based methods for minimizing a conic quadratic objective over polyhedra
- An augmented Lagrangian proximal alternating method for sparse discrete optimization problems
- Characterizations of mixed binary convex quadratic representable sets
- On cutting planes for cardinality-constrained linear programs
- Linear vs. quadratic portfolio selection models with hard real-world constraints
- A Steiner arborescence model for the feeder reconfiguration in electric distribution networks
- Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems
- A polynomial case of the cardinality-constrained quadratic optimization problem
- A cardinality constrained stochastic goal programming model with satisfaction functions for venture capital investment decision making
- A new method for mean-variance portfolio optimization with cardinality constraints
- A multiplicative weights update algorithm for MINLP
- An iterative method for solving a bi-objective constrained portfolio optimization problem
- Lifted polymatroid inequalities for mean-risk optimization with indicator variables
- Structural properties of affine sparsity constraints
- A polyhedral study of the semi-continuous knapsack problem
- A distributed computation algorithm for solving portfolio problems with integer variables
- Twenty years of linear programming based portfolio optimization
- Perspective reformulations of mixed integer nonlinear programs with indicator variables
- SDP diagonalizations and perspective cuts for a class of nonseparable MIQP
- Tighter quadratically constrained convex reformulations for semi-continuous quadratic programming
- A simheuristic algorithm for the portfolio optimization problem with random returns and noisy covariances
- The equivalence of optimal perspective formulation and Shor's SDP for quadratic programs with indicator variables
- A computational study on QP problems with general linear constraints
- Incorporating environmental and social considerations into the portfolio optimization process
- A strong sequential optimality condition for cardinality-constrained optimization problems
- Multiperiod mean absolute deviation fuzzy portfolio selection model with risk control and cardinality constraints
- A feasible active set method with reoptimization for convex quadratic mixed-integer programming
- Best subset selection via a modern optimization lens
- Splitting augmented Lagrangian method for optimization problems with a cardinality constraint and semicontinuous variables
- Exact solution methods for the k-item quadratic knapsack problem
- Algorithms and Software for Convex Mixed Integer Nonlinear Programs
- Improving the performance of MIQP solvers for quadratic programs with cardinality and minimum threshold constraints: a semidefinite program approach
- On a Reformulation of Mathematical Programs with Cardinality Constraints
- Large-Scale Loan Portfolio Selection
- Multi-objective portfolio optimization considering the dependence structure of asset returns
- Constraint qualifications and optimality conditions for optimization problems with cardinality constraints
- Perspective Relaxation of Mixed Integer Nonlinear Programs with Indicator Variables
- A branch-and-bound algorithm for discrete multi-factor portfolio optimization model
- Improved algorithm for mixed-integer quadratic programs and a computational study
- The piecewise linear optimization polytope: new inequalities and intersection with semi-continuous constraints
- Recent advances in mathematical programming with semi-continuous variables and cardinality constraint
- Perspective Reformulations of Semicontinuous Quadratically Constrained Quadratic Programs
- Outlier detection in time series via mixed-integer conic quadratic optimization
- Global optimization for sparse solution of least squares problems
- A penalty decomposition approach for multi-objective cardinality-constrained optimization problems
- An Alternating Method for Cardinality-Constrained Optimization: A Computational Study for the Best Subset Selection and Sparse Portfolio Problems
- Solving Portfolio Optimization Problems Using MOEA/D and Lévy Flight
- Mixed-Integer Convex Nonlinear Optimization with Gradient-Boosted Trees Embedded
- A Nonconvex Optimization Approach to IMRT Planning with Dose–Volume Constraints
- A Scalable Algorithm for Sparse Portfolio Selection
- Using \(\ell_1\)-relaxation and integer programming to obtain dual bounds for sparse PCA
- Computational study of a family of mixed-integer quadratic programming problems
- A combinatorial approach for small and strong formulations of disjunctive constraints
- Scalable algorithms for the sparse ridge regression
- A unified approach to mixed-integer optimization problems with logical constraints
- The trimmed Lasso: sparse recovery guarantees and practical optimization by the generalized soft-min penalty
- A simple effective heuristic for embedded mixed-integer quadratic programming
- A penalty PALM method for sparse portfolio selection problems
- Quadratic convex reformulations for semicontinuous quadratic programming
- An algebraic approach to integer portfolio problems
- Mathematical programs with cardinality constraints: reformulation by complementarity-type conditions and a regularization method
- DC programming approaches for discrete portfolio optimization under concave transaction costs
- Sparse optimization via vector \(k\)-norm and DC programming with an application to feature selection for support vector machines
- \(2 \times 2\)-convexifications for convex quadratic optimization with indicator variables
- A low-cost alternating projection approach for a continuous formulation of convex and cardinality constrained optimization
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