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9

MP
2007

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Solving maximum-entropy sampling problems using factored masks

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Solving maximum-entropy sampling problems using factored masks

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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. Keywords Entropy · Branch and bound · Nonlinear programming · Eigenvalue Mathematics Subject Classiﬁcation (2000) 90C26 · 90C22 · 90C27 · 90C57

Samuel Burer, Jon Lee

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Added	27 Dec 2010
Updated	27 Dec 2010
Type	Journal
Year	2007
Where	MP
Authors	Samuel Burer, Jon Lee

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