Linear transformation based solution methods for non-convex mixed integer quadratic programs

Linear transformation based solution methods for non-convex mixed integer quadratic programs

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Article ID: iaor20171792
Volume: 11
Issue: 5
Start Page Number: 967
End Page Number: 981
Publication Date: Jun 2017
Journal: Optimization Letters
Authors: ,
Keywords: programming: quadratic, programming: integer, heuristics, programming: branch and bound
Abstract:

Two preprocessing techniques for mixed integer quadratic programs with non‐convex objective functions are presented. The first is a convexification scheme and can be applied to problems were the continuous part of the Hessian is positive semidefinite. The second technique aims to reduce the size of the underestimating problems solved by branch‐and‐bound algorithms and can be applied to problems were the continuous part of the Hessian is singular. Numerical results are presented showing the effect of the preprocessing techniques.

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