Perspective Reformulation and Applications

2011 ◽  
pp. 61-89 ◽  
Author(s):  
Oktay Günlük ◽  
Jeff Linderoth
Keyword(s):  
Perspective Reformulation

scholarly journals Decompositions of Semidefinite Matrices and the Perspective Reformulation of Nonseparable Quadratic Programs

2020 ◽  
Vol 45 (1) ◽  
pp. 15-33 ◽  
Author(s):  
Antonio Frangioni ◽  
Claudio Gentile ◽  
James Hungerford
Keyword(s):  
Quadratic Programs ◽  
Perspective Reformulation

scholarly journals Improving the Approximated Projected Perspective Reformulation by dual information

2017 ◽  
Vol 45 (5) ◽  
pp. 519-524 ◽  
Author(s):  
Antonio Frangioni ◽  
Fabio Furini ◽  
Claudio Gentile
Keyword(s):  
Perspective Reformulation

scholarly journals Review on Reformulation of the Mean-Variance Model with Real-life Trading Restrictions

2017 ◽  
Vol 14 (1) ◽  
pp. 40
Author(s):  
Feng Li
Keyword(s):  
Computing Time ◽  
Real Life ◽  
Mixed Integer ◽  
Variance Model ◽  
Integer Quadratic Programming ◽  
Continuous Relaxation ◽  
Perspective Reformulation ◽  
Mixed Integer Quadratic Programming ◽  
Trading Restrictions ◽  
Mean Variance

In this paper, we consider a class of portfolio selection problems with cardinality and minimum buy-in threshold constraints in real-life which can be formulated as mixed-integer quadratic programming (MIQP). Two reformulation methods that generate the same tight continuous relaxation of original problem are compared in the context under the branch-and-bound algorithm, one is the Perspective Reformulation and another is the Lift-and-Convexification Reformulation (LCR). Computational results show that the (PC) is more competitive than the (LCR) method in terms of computing time and nodes in MIQP solver CPLEX 12.7, what's more, this outperformance becomes more obvious as the size of instances grows.

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