Tight SDP relaxations for cardinality-constrained problems
arXiv:2107.11338 · doi:10.1007/978-3-031-08623-6_26
Abstract
We model the cardinality-constrained portfolio problem using semidefinite matrices and investigate a relaxation using semidefinite programming. Experimental results show that this relaxation generates tight lower bounds and even achieves optimality on many instances from the literature. This underlines the modeling power of semidefinite programming for mixed-integer quadratic problems.
arXiv comment9 pages, 4 tables