SDP diagonalizations and perspective cuts for a class of nonseparable MIQP

Authors:
Antonio Frangioni;Claudio Gentile
Affiliations:
Dipartimento di Informatica, Universití di Pisa, Largo B. Pontecorvo 3, 56127 Pisa, Italy;Istituto di Analisi dei Sistemi ed Informatica "Antonio Ruberti", C.N.R., Italy
Venue:
Operations Research Letters
Year:
2007

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Abstract

We present a new approach, requiring the solution of a SemiDefinite Program, for decomposing the Hessian of a nonseparable mixed-integer quadratic problem to permit using perspective cuts to improve its continuous relaxation bound. The new method favorably compares with a previously proposed one requiring a minimum eigenvalue computation.