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Article Dans Une Revue Operations Research Letters Année : 2017

Improving the Approximated Projected Perspective Reformulation by dual information

Résumé

We propose an improvement of the Approximated Projected Perspective Reformulation (AP2R)of [1] for the case in which constraints linking the binary variables exist. The new approach requires to solve the Perspective Reformulation (PR) once, and then use the corresponding dual information to reformulate the problem prior to applying AP2R, there by 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 competitivewith state-of-the-art ones.
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Dates et versions

hal-02098352 , version 1 (12-04-2019)

Identifiants

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Antonio Frangioni, Fabio Furini, Claudio Gentile. Improving the Approximated Projected Perspective Reformulation by dual information. Operations Research Letters, 2017, 45 (5), ⟨10.1016/j.orl.2017.08.001⟩. ⟨hal-02098352⟩
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