On Lagrangian Relaxation of Quadratic Matrix Constraints

Quadratically constrained quadratic programs (QQPs) play an important modeling role for many diverse problems. These problems are in general NP hard and numerically intractable. Lagrangian relaxations often provide good approximate solutions to these hard problems. Such relaxations are equivalent to...

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Vydáno v:SIAM journal on matrix analysis and applications Ročník 22; číslo 1; s. 41 - 55
Hlavní autoři: Anstreicher, Kurt, Wolkowicz, Henry
Médium: Journal Article
Jazyk:angličtina
Vydáno: Philadelphia Society for Industrial and Applied Mathematics 2000
Témata:
Algorithms
Eigenvalues
ISSN:0895-4798, 1095-7162
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Shrnutí:Quadratically constrained quadratic programs (QQPs) play an important modeling role for many diverse problems. These problems are in general NP hard and numerically intractable. Lagrangian relaxations often provide good approximate solutions to these hard problems. Such relaxations are equivalent to semidefinite programming relaxations. For several special cases of QQP, e.g., convex programs and trust region subproblems, the Lagrangian relaxation provides the exact optimal value, i.e., there is a zero duality gap. However, this is not true for the general QQP, or even the QQP with two convex constraints, but a nonconvex objective. In this paper we consider a certain QQP where the quadratic constraints correspond to the matrix orthogonality condition XXT=I. For this problem we show that the Lagrangian dual based on relaxing the constraints XXT=I and the seemingly redundant constraints XTX=I has a zero duality gap. This result has natural applications to quadratic assignment and graph partitioning problems, as well as the problem of minimizing the weighted sum of the largest eigenvalues of a matrix. We also show that the technique of relaxing quadratic matrix constraints can be used to obtain a strengthened semidefinite relaxation for the max-cut problem.
Bibliografie:ObjectType-Article-1
SourceType-Scholarly Journals-1
content type line 14
ISSN:0895-4798
1095-7162
DOI:10.1137/S0895479898340299