A branch-and-cut algorithm for nonconvex quadratic programs with box constraints (Q1774170)
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English | A branch-and-cut algorithm for nonconvex quadratic programs with box constraints |
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A branch-and-cut algorithm for nonconvex quadratic programs with box constraints (English)
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29 April 2005
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The aim of this paper is to design an efficient branch-and-cut algorithm for solving linear programs with complementarity constraints of type \[ \begin{align*}{& \! \max {1 \over 2} \sum_{i=1}^n (c_ix_i + y_i) \cr & \text{subject to} \cr & y_i-\sum_{j=1}^n q_{ij}x_j - z_i = c_i, i=\overline{1,n} \cr & y_i(1-x_i)=0, i=\overline{1,n} \cr & z_ix_i=0, i=\overline{1,n} \cr & x_i \leq 1, i=\overline{1,n} \cr & x_i,y_i,z_i \geq 0, i=\overline{1,n}, \cr}\end{align*} \] obtained by reformulating quadratic programs with box constraints of type \[ \begin{align*}{& \! \max {1 \over 2} x^T Q x + c^T x\cr & \text{subject to} \cr & x \in [0,1]^n,\cr}\end{align*} \] where \(Q=[q_{ij}]\) is an \(n \times n\) symmetric matrix. The proposed algorithm uses cutting planes defined by valid inequalities obtained by the authors in their paper [ibid. 102, No. 3 (A), 531--557 (2005; Zbl 1137.90009)]. Considering several branching strategies, the effectiveness of the algorithm is confirmed by computational experiments.
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quadratic programming
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branch-and-cut algorithms
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strong branching
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