Solving maximum-entropy sampling problems using factored masks

نویسندگان

  • Samuel Burer
  • Jon Lee
چکیده

We present a practical approach to Anstreicher and Lee’s masked spectral bound for maximum-entropy sampling, and we describe favorable results that we have obtained with a Branch-and-Bound algorithm based on our approach. By representing masks in factored form, we are able to easily satisfy a semidefiniteness constraint. Moreover, this representation allows us to restrict the rank of the mask as a means for attempting to practically incorporate second-order information.

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عنوان ژورنال:
  • Math. Program.

دوره 109  شماره 

صفحات  -

تاریخ انتشار 2007