| Article ID: | iaor1998451 |
| Country: | Netherlands |
| Volume: | 74 |
| Issue: | 2 |
| Start Page Number: | 121 |
| End Page Number: | 140 |
| Publication Date: | Aug 1996 |
| Journal: | Mathematical Programming |
| Authors: | Bienstock Daniel |
| Keywords: | programming: integer, programming: branch and bound |
We present computational experience with a branch-and-cut algorithm to solve quadratic programming problems where there is an upper bound on the number of positive variables. Such problems arise in financial applications. The algorithm solves the largest real-life problems in a few minutes of run-time.