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arXiv · 2107.11338

Tight SDP relaxations for cardinality-constrained problems

Angelika Wiegele·Shudian Zhao
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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.

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Angelika Wiegele, Shudian Zhao. 2021-07-23. Tight SDP relaxations for cardinality-constrained problems. https://doi.org/10.1007/978-3-031-08623-6_26

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