cardinality

When does linking disjunctive blocks preserve exactness?

Categories Convex Optimization, Integer Programming, Polyhedra Tags , , ,

Strong formulations for assignment and network design often split each capacitated resource into one copy per level, the number of items it serves, and then link the levels of different resources. We ask when linking disjunctive blocks preserves exactness, which of their levels must be exact, and how the answer depends on the structure of … Read more

Efficient Cardinality/Mean-Variance Portfolios

Categories Finance and Economics, Multi-Criteria Optimization, Nonsmooth Optimization Tags , , , , ,

A number of variants of the classical Markowitz mean-variance optimization model for portfolio selection have been investigated to render it more realistic. Recently, it has been studied the imposition of a cardinality constraint, setting an upper bound on the number of active positions taken in the portfolio, in an attempt to improve its performance and … Read more