SIAM Journal on Optimization, Volume 31, Issue 3, Page 1897-1925, January 2021.
We consider the problem of estimating the true values of a Wiener process given noisy observations corrupted by outliers. In this paper we show how to improve existing mixed-integer quadratic optimization formulations for this problem. Specifically, we convexify the existing formulations via lifting, deriving new mixed-integer conic quadratic reformulations. The proposed reformulations are stronger and substantially faster when used with current mixed-integer optimization solvers. In our experiments, solution times are improved by at least two orders-of-magnitude.

中文翻译：

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通过混合整数二次优化在时间序列中检测异常值

SIAM 优化杂志，第 31 卷，第 3 期，第 1897-1925 页，2021 年 1 月。
我们考虑在给定被异常值破坏的嘈杂观测值的情况下估计 Wiener 过程的真实值的问题。在本文中，我们展示了如何针对这个问题改进现有的混合整数二次优化公式。具体来说，我们通过提升、推导新的混合整数二次二次重构来凸化现有公式。当与当前的混合整数优化求解器一起使用时，所提出的重新表述更强大且速度更快。在我们的实验中，求解时间至少提高了两个数量级。