2013 | OriginalPaper | Buchkapitel
On Valid Inequalities for Quadratic Programming with Continuous Variables and Binary Indicators
verfasst von : Hongbo Dong, Jeff Linderoth
Erschienen in: Integer Programming and Combinatorial Optimization
Verlag: Springer Berlin Heidelberg
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In this paper we study valid inequalities for a set that involves a continuous vector variable
x
∈ [0,1]
n
, its associated quadratic form
x
x
T
, and binary indicators on whether or not
x
> 0. This structure appears when deriving strong relaxations for mixed integer quadratic programs (MIQPs). Valid inequalities for this set can be obtained by lifting inequalities for a related set without binary variables (
QPB
), that was studied by Burer and Letchford. After closing a theoretical gap about
QPB
, we characterize the strength of different classes of lifted
QPB
inequalities. We show that one class,
lifted-posdiag-QPB inequalities
, capture no new information from the binary indicators. However, we demonstrate the importance of the other class, called
lifted-concave-QPB inequalities
, in two ways. First, all lifted-concave-QPB inequalities define the relevant convex hull for the case of
convex
quadratic programming with indicators. Second, we show that all
perspective constraints
are a special case of lifted-concave-QPB inequalities, and we further show that adding the perspective constraints to a semidefinite programming relaxation of convex quadratic programs with binary indicators results in a problem whose bound is equivalent to the recent optimal diagonal splitting approach of Zheng
et al.
. Finally, we show the separation problem for lifted-concave-QPB inequalities is tractable if the number of binary variables involved in the inequality is small. Our study points out a direction to generalize perspective cuts to deal with non-separable nonconvex quadratic functions with indicators in global optimization. Several interesting questions arise from our results, which we detail in our concluding section.