Sparse conic reformulation of structured QCQPs based on copositive optimization with applications in stochastic optimization

DOI10.1007/S10898-023-01283-YMaRDI QIDQ6166103zbMATH OpenOpenAlexFDO

Authors Markus Gabl

Publication date 2 August 2023

Published in Journal of Global Optimization (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2101.06219

zbMATH Keywords

matrix completionquadratic optimizationconic optimizationcopositive optimization

Mathematics Subject Classification ID

Quadratic programming (90C20) Stochastic programming (90C15)

Abstract: In an effort to develop an alternative approach to traditional sparse reformulations, we will provide a new type of convex reformulation of a large class of stochastic quadratically constrained quadratic optimization problems that is similar to Burer's reformulation, but lifts the variables into a comparatively lower dimensional space. The reformulation rests on a generalization of the set-completely positive matrix cone. This cone can then be approximated via inner and outer approximations in order to obtain upper and lower bounds, which potentially close the optimality gap, and hence can give a certificate of exactness for these sparse reformulations outside of traditional, known sufficient conditions. Finally, we provide some numerical experiments, where we asses the quality of the inner and outer approximations, thereby showing that the approximations may indeed close the optimality gap in interesting cases.

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Cited in

(1)

• Further development in convex conic reformulation of geometric nonconvex conic optimization problems

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