Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1141429 | Discrete Optimization | 2014 | 13 Pages |
Abstract
We will analyze mixed-0/1 second-order cone programs where the continuous and binary variables are solely coupled via the conic constraints. We devise a cutting-plane framework based on an implicit Sherali–Adams reformulation. The resulting cuts are very effective as symmetric solutions are automatically cut off and each equivalence class of 0/1 solutions is visited at most once. Further, we present computational results showing the effectiveness of our method and briefly sketch an application in optimal pooling of securities.
Related Topics
Physical Sciences and Engineering
Mathematics
Control and Optimization
Authors
Sarah Drewes, Sebastian Pokutta,