SDP diagonalizations and perspective cuts for a class of nonseparable MIQP |
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| Authors: | Antonio Frangioni Claudio Gentile |
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| Institution: | a Dipartimento di Informatica, Università di Pisa, Largo B. Pontecorvo 3, 56127 Pisa, Italy
b Istituto di Analisi dei Sistemi ed Informatica “Antonio Ruberti”, C.N.R., Italy |
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| Abstract: | We present a new approach, requiring the solution of a SemiDefinite Program, for decomposing the Hessian of a nonseparable mixed-integer quadratic problem to permit using perspective cuts to improve its continuous relaxation bound. The new method favorably compares with a previously proposed one requiring a minimum eigenvalue computation. |
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| Keywords: | Mixed-integer quadratic programs Valid inequalities SemiDefinite programming Portfolio optimization |
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