Heuristic solution procedures for a mixed‐integer programming discriminant model

Mixed-integer programming models for the two-group discriminant problem appear to be more promising, in terms of accuracy, than are linear programming models, but at a substantial computational cost. This paper poses a particular mixed-integer model and suggests heuristics, based on linear programming, for obtaining suboptimal but “good” solutions to it. The heuristics are compared to the mixed-integer model using Monte Carlo simulation with Gaussian data.