SOCP reformulation for the generalized trust region subproblem via a canonical form of two symmetric matrices

We investigate in this paper the generalized trust region subproblem (GTRS) of minimizing a general quadratic objective function subject to a general quadratic inequality constraint. By applying a simultaneous block diagonalization approach, we obtain a congruent canonical form for the symmetric mat...

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Bibliographic Details
Published in:	Mathematical programming Vol. 169; no. 2; pp. 531 - 563
Main Authors:	Jiang, Rujun, Li, Duan, Wu, Baiyi
Format:	Journal Article
Language:	English
Published:	Berlin/Heidelberg Springer Berlin Heidelberg 01.06.2018 Springer Nature B.V
Subjects:	Calculus of Variations and Optimal Control; Optimization Combinatorics Economic models Full Length Paper Mathematical analysis Mathematical and Computational Physics Mathematical Methods in Physics Mathematics Mathematics and Statistics Mathematics of Computing Matrix methods Numerical Analysis Theoretical 90C20 90C26 Trust region subproblem Quadratically constrained quadratic programming Canonical form
ISSN:	0025-5610, 1436-4646
Online Access:	Get full text
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