Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5128388 | Operations Research Letters | 2017 | 6 Pages |
Abstract
We propose an improvement of the Approximated Projected Perspective Reformulation (AP2R) for dealing with constraints linking the binary variables. The new approach solves the Perspective Reformulation (PR) once, and then use the corresponding dual information to reformulate the problem prior to applying AP2R, thereby combining the root bound quality of the PR with the reduced relaxation computing time of AP2R. Computational results for the cardinality-constrained Mean-Variance portfolio optimization problem show that the new approach is competitive with state-of-the-art ones.
Related Topics
Physical Sciences and Engineering
Mathematics
Discrete Mathematics and Combinatorics
Authors
Antonio Frangioni, Fabio Furini, Claudio Gentile,