Rights statement: 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
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Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
}
TY - JOUR
T1 - Valid inequalities for quadratic optimisation with domain constraints
AU - Galli, Laura
AU - Letchford, Adam
N1 - 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
PY - 2021/8/31
Y1 - 2021/8/31
N2 - 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.
AB - 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.
KW - mixed-integer nonlinear programming
KW - global optimisation
KW - cutting planes
U2 - 10.1016/j.disopt.2021.100661
DO - 10.1016/j.disopt.2021.100661
M3 - Journal article
VL - 41
JO - Discrete Optimization
JF - Discrete Optimization
SN - 1572-5286
M1 - 100661
ER -