Solving conic quadratically constrained quadratic programming problems

MaRDI QIDQ2928413zbMATH OpenFDO

Authors Qingwei Jin, Shu-Cherng Fang, Cheng Lu, Wenxun Xing

Publication date 7 November 2014

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

Full work available at URL http://www.yokohamapublishers.jp/online2/oppjo/vol10/p503.html

zbMATH Keywords

conic programmingconic quadratically constrained quadratic programmingglobal optimality conditionKKT conditionquadratically constrained quadratic programming

Mathematics Subject Classification ID

Quadratic programming (90C20) Nonconvex programming, global optimization (90C26) Optimality conditions and duality in mathematical programming (90C46)

Review text

The paper is concerned with the conic quadratically constrained quadratic programming problem (CQCQP) and extends results by \textit{C. Lu} et al. [SIAM J. Optim. 21, No. 4, 1475--1490 (2011; Zbl 1242.49044)] for the quadratically constrained quadratic programming problem (QCQP). In particular, KKT conditions for CQCQP and related linear conic reformulations of this problem using the cone of nonnegative quadratic functions are introduced. Moreover, an extended copositiveness condition is proved, which is an extended global optimality condition similar to that by \textit{C. Lu} et al. for QCQP, and an extended global optimality condition is given, which is based on an extended maximal property of the optimal Lagrangian multipliers. This allows the set-up of a computational scheme for the solution of CQCQP under additional assumptions. An example demonstrates the performance of the proposed algorithm.

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Cited in

(8)

• Quadratic cone cutting surfaces for quadratic programs with on-off constraints
• Second order optimality conditions and reformulations for nonconvex quadratically constrained quadratic programming problems
• Quadratic Eigenvalue Problems under Conic Constraints
• On conic QPCCs, conic QCQPs and completely positive programs
• KKT solution and conic relaxation for solving quadratically constrained quadratic programming problems
• Solving Quadratic Programming by Cutting Planes
• A new algorithm for solving nonconvex quadratic programming over an ice cream cone
• On global solvability of a class of possibly nonconvex QCQP problems in Hilbert spaces

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