Valid inequalities for quadratic optimisation with domain constraints

Galli, Laura and Letchford, Adam (2021) Valid inequalities for quadratic optimisation with domain constraints. Discrete Optimization, 41. ISSN 1572-5286

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Official URL: https://doi.org/10.1016/j.disopt.2021.100661

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.

Item Type:

Journal Article

Journal or Publication Title:

Discrete Optimization

Additional Information:

This is the author’s version of a work that was accepted for publication in Discrete Optimization. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Discrete Optimization, 41, 2021 DOI: 10.1016/j.disopt.2021.100661

Uncontrolled Keywords:

/dk/atira/pure/subjectarea/asjc/2600/2604

Subjects:

Departments:

Lancaster University Management School > Management Science

ID Code:

157313

Deposited By:

ep_importer_pure

Deposited On:

16 Jul 2021 11:00

Refereed?: