Article ID: | iaor2004407 |
Country: | United States |
Volume: | 28 |
Issue: | 2 |
Start Page Number: | 246 |
End Page Number: | 267 |
Publication Date: | May 2003 |
Journal: | Mathematics of Operations Research |
Authors: | Zhang Shuzhong, Sturm Jos F. |
We derive linear matrix inequality (LMI) characterizations and dual decomposition algorithms for certain matrix cones which are generated by a given set using generalized co-positivity. These matrix cones are in fact cones of nonconvex quadratic functions that are nonnegative on a certain domain. As a domain, we consider for instance the intersection of a (upper) level-set of a quadratic function and a half-plane. Consequently, we arrive at a generalization of Yakubovich's S-procedure result. Although the primary concern of this paper is to characterize the matrix cones by LMIs, we show, as an application of our results, that optimizing a general quadratic function over the intersection of an ellipsoid and a half-plane can be formulated as semidefinite programming, thus proving the polynomiality of this class of optimization problems, which arise, e.g., from the application of the trust region method for nonlinear programming. Other applications are in control theory and robust optimization.