Decompositions of Semidefinite Matrices and the Perspective Reformulation of Nonseparable Quadratic Programs

DOI10.1287/moor.2018.0969zbMath1437.90110OpenAlexW2980668405WikidataQ118165398 ScholiaQ118165398MaRDI QIDQ5108255

James T. Hungerford, Antonio Frangioni, Claudio Gentile

Publication date: 30 April 2020

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11568/926782

zbMATH Keywords

portfolio optimizationmixed integer nonlinear programmingmatrix decompositionmixed-integer quadratic programmingsemicontinuous variablesscaled diagonal dominance

Mathematics Subject Classification ID

Semidefinite programming (90C22) Convex programming (90C25) Applications of mathematical programming (90C90) Mixed integer programming (90C11) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Canonical forms, reductions, classification (15A21)

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Uses Software

• SPOTless

Cites Work

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