Decompositions of semidefinite matrices and the perspective reformulation of nonseparable quadratic programs
Antonio Frangioni, Claudio Gentile, James Hungerford
| Year of publication: |
2020
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|---|---|
| Authors: | Frangioni, Antonio ; Gentile, Claudio ; Hungerford, James |
| Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 45.2020, 1, p. 15-33
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| Subject: | mixed-integer quadratic programming | matrix decomposition | scaled diagonal dominance | semicontinuous variables | portfolio optimization | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Dekompositionsverfahren | Decomposition method | Lineare Algebra | Linear algebra |