Lifted polymatroid inequalities for mean-risk optimization with indicator variables.

Alper Atamtürk Hyemin Jeon

Published in: J. Glob. Optim. (2019)

Keyphrases

probabilistic inference
optimization algorithm
sufficient conditions
constrained optimization
global optimization
binary variables
portfolio optimization
optimization problems
variable selection
optimization process
linear inequalities
graphical models
optimization methods
risk management