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Computational study of a family of mixed-integer quadratic programming problems. (English) Zbl 0855.90090
Summary: We present computational experience with a branch-and-cut algorithm to solve quadratic programming problems where there is an upper bound on the number of positive variables. Such problems arise in financial applications. The algorithm solves the largest real-life problems in a few minutes of run-time.

MSC:
90C11 Mixed integer programming
90C20 Quadratic programming
65Y05 Parallel numerical computation
Software:
CPLEX
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References:
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