Publications of Claudio Gentile

This page shows all publications that appeared in the IASI annual research reports. Authors currently affiliated with the Institute are always listed with the full name.

You can browse through them using either the links of the following line or those associated with author names.

Show all publications of the year  2005, with author Gentile C., in the category IASI Research Reports (or show them all):


IASI Research Report n. 634  (Previous )  

Antonio Frangioni, Claudio Gentile

SDP Diagonalizations and Perspective Cuts for a Classs of Nonseparable MIQP

ABSTRACT
Perspective cuts are a computationally effective family of valid inequalities, belonging to the general family of disjunctive cuts, for Mixed-Integer Convex NonLinear Programming problems with a specific structure. The required structure can be forced upon models that would not originally display it by decomposing the hessian of the problem into the sum of two positive semidefinite matrices, a generic and a diagonal one, so that the letter is "as large as possible". We compare two ways for computing the diagonal matrix: an inexpensive approach requiring a minimum eigenvalue computation and a more costly procedure which require the solution of a SemiDefinite Programming problem. The latter dramatically outperforms the former at least upon instances of the Mean-Variance problem in portfolio optimization.
back
- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -