Tight SDP relaxations for cardinality-constrained problems

DOI10.1007/978-3-031-08623-6_26arXiv2107.11338MaRDI QIDQ6505154FDOQ6505154

Authors: Angelika Wiegele, Shudian Zhao 

Abstract: 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.

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