Lifted polymatroid inequalities for mean-risk optimization with indicator variables
نویسندگان
چکیده
منابع مشابه
Lifted Polymatroid Inequalities for Mean-risk Optimization with Indicator Variables
We investigate a mixed 0 − 1 conic quadratic optimization problem with indicator variables arising in mean-risk optimization. The indicator variables are often used to model non-convexities such as fixed charges or cardinality constraints. Observing that the problem reduces to a submodular function minimization for its binary restriction, we derive three classes of strong convex valid inequalit...
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ژورنال
عنوان ژورنال: Journal of Global Optimization
سال: 2019
ISSN: 0925-5001,1573-2916
DOI: 10.1007/s10898-018-00736-z