Relaxing the optimality conditions of box QP

Relaxing the optimality conditions of box QP

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Article ID: iaor20114156
Volume: 48
Issue: 3
Start Page Number: 653
End Page Number: 673
Publication Date: Apr 2011
Journal: Computational Optimization and Applications
Authors: ,
Keywords: programming: branch and bound
Abstract:

We present semidefinite relaxations of nonconvex, box‐constrained quadratic programming, which incorporate the first‐ and second‐order necessary optimality conditions, and establish theoretical relationships between the new relaxations and a basic semidefinite relaxation due to Shor. We compare these relaxations in the context of branch‐and‐bound to determine a global optimal solution, where it is shown empirically that the new relaxations are significantly stronger than Shor’s. An effective branching strategy is also developed.

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