Abstract
In a recent paper [6] we suggested an algorithm for solving complicated mixed-integer quadratic programs, based on an equivalent formulation that employs a nonsingular transformation of variables. The objectives of the present paper are two. First, to present an improved version of this algorithm, which reduces substantially its computational requirements; second, to report on the results of a computational study with the revised algorithm.
This is a preview of subscription content, log in via an institution to check access.
Similar content being viewed by others
References
R.D. Armstrong and C.E. Willis, “Simultaneous investment and allocation decisions applied to water planning”,Management Science 23 (1977) 1080–1087.
E.M.L. Beale, “On minimizing a convex function subject to linear inequalities”,Journal of the Royal Statistical Society B 17 (1955) 173–184.
R.W. Cottle, “Symmetric dual quadratic programs”,Quarterly of Applied Mathematics 21 (1963) 236–243.
R.S. Garfinkel and G.L. Nemhauser,Integer programming (Wiley, New York, 1972).
A.M. Geoffrion, “Generalized Benders' decomposition”,Journal of Optimization Theory and Applications 10 (1972) 237–260.
R. Lazimy, “Mixed-integer quadratic programming”,Mathematical Programming 22 (1982) 332–349.
R. Lazimy, “Optimal consumption-investment decisions with risky divisible and indivisible investment opportunities, and with transaction costs: A mathematical algorithm and an economic analysis”, Working Paper, School of Business, The Hebrew University (Jerusalem, ISRAEL, 1982).
R. Lazimy and H. Levy, “The effects of variable and fixed transaction costs on optimal investment decisions”,Decision Sciences 14 (1983) 527–545.
Author information
Authors and Affiliations
Rights and permissions
About this article
Cite this article
Lazimy, R. Improved algorithm for mixed-integer quadratic programs and a computational study. Mathematical Programming 32, 100–113 (1985). https://doi.org/10.1007/BF01585661
Received:
Revised:
Issue Date:
DOI: https://doi.org/10.1007/BF01585661