DASH: A Dimensionality Reduction Method for Large-scale Convex MIQP with Applications in Subset Portfolio Selection (opens in new tab)

Subset selection problems as MIPs (Mixed Integer Programs) are NP-hard. For large scale problems, it is infeasible to find global optimal solutions in a reasonable time and good-quality incumbent solutions are sought after with MIP solvers in practice. This paper proposes DASH (Decreasing Active Set Hierarchy) -- a dimensionality reduction method that improves the MIP solver performance for a subclass of best subset selection problems that can b...