Tight MIQP Reformulations for Semi-Continuous Quadratic Programming: Lift-and-Convexification Approach (1507.05708v1)

Abstract: We consider in this paper a class of semi-continuous quadratic programming problems which arises in many real-world applications such as production planning, portfolio selection and subset selection in regression. We propose a lift-and-convexification approach to derive an equivalent reformulation of the original problem. This lift-and-convexification approach lifts the quadratic term involving $x$ only in the original objective function $f(x,y)$ to a quadratic function of both $x$ and $y$ and convexifies this equivalent objective function. While the continuous relaxation of our new reformulation attains the same tight bound as achieved by the continuous relaxation of the well known perspective reformulation, the new reformulation also retains the linearly constrained quadratic programming structure of the original mix-integer problem. This prominent feature improves the performance of branch-and-bound algorithms by providing the same tightness at the root node as the state-of-the-art perspective reformulation and offering much faster processing time at children nodes. We further combine the lift-and-convexification approach and the quadratic convex reformulation approach in the literature to form an even tighter reformulation. Promising results from our computational tests in both portfolio selection and subset selection problems numerically verify the benefits from these theoretical features of our new reformulations.