English

Tight SDP relaxations for cardinality-constrained problems

Optimization and Control 2024-02-08 v2

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.

Keywords

Cite

@article{arxiv.2107.11338,
  title  = {Tight SDP relaxations for cardinality-constrained problems},
  author = {Angelika Wiegele and Shudian Zhao},
  journal= {arXiv preprint arXiv:2107.11338},
  year   = {2024}
}

Comments

9 pages, 4 tables

R2 v1 2026-06-24T04:28:12.428Z