Duality bound method for the general quadratic programming problem with quadratic constraints

Duality bound method for the general quadratic programming problem with quadratic constraints

0.00 Avg rating0 Votes
Article ID: iaor2002478
Country: United States
Volume: 107
Issue: 2
Start Page Number: 331
End Page Number: 354
Publication Date: Nov 2000
Journal: Journal of Optimization Theory and Applications
Authors:
Keywords: duality
Abstract:

The purpose of this article is to develop a branch-and-bound algorithm using duality bounds for the general quadratically-constrained quadratic programming problem and having the following properties: (i) duality bounds are computed by solving ordinary linear programs; (ii) they are at least as good as the lower bounds obtained by solving relaxed problems, in which each nonconvex function is replaced by its convex envelope; (iii) standard convergence properties of branch-and-bound algorithms for nonconvex global optimization problems are guaranteed. Numerical results of preliminary computational experiments for the case of one quadratic constraint are reported.

Reviews

Required fields are marked *. Your email address will not be published.