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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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:
ID Code:
157313
Deposited By:
Deposited On:
16 Jul 2021 11:00
Refereed?:
Yes
Published?:
Published
Last Modified:
06 Oct 2021 08:22