An efficient global optimization algorithm for maximizing the sum of two generalized Rayleigh quotients

DOI10.1007/S40314-018-0575-9MaRDI QIDQ1993432zbMATH OpenOpenAlexFDO

Authors Yong Xia, Xiao-Hui Wang, Long-Fei Wang

Publication date 5 November 2018

Published in Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1706.00596

zbMATH Keywords

branch and boundfractional programmingRayleigh quotientsemidefinite programming

Mathematics Subject Classification ID

Semidefinite programming (90C22) Nonconvex programming, global optimization (90C26) Fractional programming (90C32)

Abstract: Maximizing the sum of two generalized Rayleigh quotients (SRQ) can be reformulated as a one-dimensional optimization problem, where the function value evaluations are reduced to solving semi-definite programming (SDP) subproblems. In this paper, we first use the dual SDP subproblem to construct an explicit overestimation and then propose a branch-and-bound algorithm to globally solve (SRQ). Numerical results demonstrate that it is even more efficient than the recent SDP-based heuristic algorithm.

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Cited in

(5)

• On optimizing the sum of the Rayleigh quotient and the generalized Rayleigh quotient on the unit sphere
• Buckling and free vibration analysis of non-prismatic columns using optimized shape functions and Rayleigh method
• Minimizing the sum of linear fractional functions over the cone of positive semidefinite matrices: approximation and applications
• A linear-time algorithm for globally maximizing the sum of a generalized Rayleigh quotient and a quadratic form on the unit sphere
• Maximizing the sum of a generalized Rayleigh quotient and another Rayleigh quotient on the unit sphere via semidefinite programming

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