Globally Solving Concave Quadratic Program via Doubly Nonnegative Relaxation
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Abstract: We consider the problem of maximizing a convex quadratic function over a bounded polyhedral set. We design a new framework based on SDP relaxation and cutting plane method for solving the associated reference value problem. The major novelty is a new way to generate valid cut through the doubly nonnegative (DNN) relaxation. We establish various theoretical properties of the DNN relaxation. This includes its equivalence with the Shor relaxation of the equivalent quadratically constrained problem, the strong duality and generation of valid cut from an approximate solution of the DNN relaxation returned by an arbitrary SDP solver. Computational results on both real and synthetic data demonstrate the efficiency of the proposed new method and its ability to solve high dimensional problems with dense data. In particular, our new algorithm successfully solved in 3 days the reference value problem arising from computational biology for a dataset containing more than 300,000 instances of dimension 100. In contrast, CPLEX or Gurobi is estimated to need years of computational time for the same dataset on the same computing platform.
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