Solving maximum-entropy sampling problems using factored masks

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

• Type: Journal
• Year: 2007
• Where: MP
• Authors: Samuel Burer, Jon Lee
• Keywords: Maximum-entropy Sampling, MP 2007, Practical Approach, Spectral Bound