combinatorial constraints

Ideal formulations for constrained convex optimization problems with indicator variables.

  • Andrés Gómez
  • Simge Küçükyavuz
  • Linchuan Wei
    • Categories (Mixed) Integer Nonlinear Programming, Semi-definite Programming Tags , , ,

    Motivated by modern regression applications, in this paper, we study the convexification of a class of convex optimization problems with indicator variables and combinatorial constraints on the indicators. Unlike most of the previous work on convexification of sparse regression problems, we simultaneously consider the nonlinear non-separable objective, indicator variables, and combinatorial constraints. Specifically, we give … Read more

    On the convexification of constrained quadratic optimization problems with indicator variables

  • Andrés Gómez
  • Simge Küçükyavuz
  • Linchuan Wei
    • Categories (Mixed) Integer Nonlinear Programming, Quadratic Programming Tags , , , ,

    Motivated by modern regression applications, in this paper, we study the convexification of quadratic optimization problems with indicator variables and combinatorial constraints on the indicators. Unlike most of the previous work on convexification of sparse regression problems, we simultaneously consider the nonlinear objective, indicator variables, and combinatorial constraints. We prove that for a separable quadratic … Read more