Multi-period MIQPs with linear dynamics and indicators have projected cost matrices whose inverses are block-tridiagonal; the paper exploits this to give an exact O(n^2)-constraint SOCP formulation and a polynomial shortest-path algorithm.
Supermodularity and valid inequalities for quadratic optimiza- tion with indicators
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
math.OC 1years
2024 1verdicts
CONDITIONAL 1representative citing papers
citing papers explorer
-
Convexification of Multi-period Quadratic Programs with Indicators
Multi-period MIQPs with linear dynamics and indicators have projected cost matrices whose inverses are block-tridiagonal; the paper exploits this to give an exact O(n^2)-constraint SOCP formulation and a polynomial shortest-path algorithm.