The generalized trust region subproblem: solution complexity and convex hull results
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Publication:2118085
DOI10.1007/S10107-020-01560-8zbMATH Open1489.90099arXiv1907.08843OpenAlexW3092375986MaRDI QIDQ2118085FDOQ2118085
Alex L. Wang, Fatma Kılınç-Karzan
Publication date: 22 March 2022
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Abstract: We consider the Generalized Trust Region Subproblem (GTRS) of minimizing a nonconvex quadratic objective over a nonconvex quadratic constraint. A lifting of this problem recasts the GTRS as minimizing a linear objective subject to two nonconvex quadratic constraints. Our first main contribution is structural: we give an explicit description of the convex hull of this nonconvex set in terms of the generalized eigenvalues of an associated matrix pencil. This result may be of interest in building relaxations for nonconvex quadratic programs. Moreover, this result allows us to reformulate the GTRS as the minimization of two convex quadratic functions in the original space. Our next set of contributions is algorithmic: we present an algorithm for solving the GTRS up to an epsilon additive error based on this reformulation. We carefully handle numerical issues that arise from inexact generalized eigenvalue and eigenvector computations and establish explicit running time guarantees for these algorithms. Notably, our algorithms run in linear (in the size of the input) time. Furthermore, our algorithm for computing an epsilon-optimal solution has a slightly-improved running time dependence on epsilon over the state-of-the-art algorithm. Our analysis shows that the dominant cost in solving the GTRS lies in solving a generalized eigenvalue problem -- establishing a natural connection between these problems. Finally, generalizations of our convex hull results allow us to apply our algorithms and their theoretical guarantees directly to equality-, interval-, and hollow- constrained variants of the GTRS. This gives the first linear-time algorithm in the literature for these variants of the GTRS.
Full work available at URL: https://arxiv.org/abs/1907.08843
Quadratic programming (90C20) Convex programming (90C25) Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Nonconvex programming, global optimization (90C26) Semidefinite programming (90C22)
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