Eigenvalue-based algorithm and analysis for nonconvex QCQP with one constraint

A nonconvex quadratically constrained quadratic programming (QCQP) with one constraint is usually solved via a dual SDP problem, or Moré’s algorithm based on iteratively solving linear systems. In this work we introduce an algorithm for QCQP that requires finding just one eigenpair of a generalized...

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Vydané v:	Mathematical programming Ročník 173; číslo 1-2; s. 79 - 116
Hlavní autori:	Adachi, Satoru, Nakatsukasa, Yuji
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Berlin/Heidelberg Springer Berlin Heidelberg 01.01.2019 Springer Nature B.V
Predmet:	Algorithms Calculus of Variations and Optimal Control; Optimization Combinatorics Eigenvalues Full Length Paper Linear systems Mathematical and Computational Physics Mathematical Methods in Physics Mathematics Mathematics and Statistics Mathematics of Computing Numerical Analysis Quadratic programming Theoretical Generalized eigenvalue problem 90C20 65K05 90C30 QCQP Canonical form for symmetric matrix pair 49M37
ISSN:	0025-5610, 1436-4646
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