Approximation algorithms for homogeneous polynomial optimization with quadratic constraints

In this paper, we consider approximation algorithms for optimizing a generic multi-variate homogeneous polynomial function, subject to homogeneous quadratic constraints. Such optimization models have wide applications, e.g., in signal processing, magnetic resonance imaging (MRI), data training, appr...

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Veröffentlicht in:Mathematical programming Jg. 125; H. 2; S. 353 - 383
Hauptverfasser: He, Simai, Li, Zhening, Zhang, Shuzhong
Format: Journal Article Tagungsbericht
Sprache:Englisch
Veröffentlicht: Berlin/Heidelberg Springer-Verlag 01.10.2010
Springer
Springer Nature B.V
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ISSN:0025-5610, 1436-4646
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Abstract In this paper, we consider approximation algorithms for optimizing a generic multi-variate homogeneous polynomial function, subject to homogeneous quadratic constraints. Such optimization models have wide applications, e.g., in signal processing, magnetic resonance imaging (MRI), data training, approximation theory, and portfolio selection. Since polynomial functions are non-convex, the problems under consideration are all NP-hard in general. In this paper we shall focus on polynomial-time approximation algorithms. In particular, we first study optimization of a multi-linear tensor function over the Cartesian product of spheres. We shall propose approximation algorithms for such problem and derive worst-case performance ratios, which are shown to be dependent only on the dimensions of the model. The methods are then extended to optimize a generic multi-variate homogeneous polynomial function with spherical constraint. Likewise, approximation algorithms are proposed with provable approximation performance ratios. Furthermore, the constraint set is relaxed to be an intersection of co-centered ellipsoids; namely, we consider maximization of a homogeneous polynomial over the intersection of ellipsoids centered at the origin, and propose polynomial-time approximation algorithms with provable worst-case performance ratios. Numerical results are reported, illustrating the effectiveness of the approximation algorithms studied.
AbstractList Issue Title: 20th International Symposium on Mathematical Programming - ISMP 2009 In this paper, we consider approximation algorithms for optimizing a generic multi-variate homogeneous polynomial function, subject to homogeneous quadratic constraints. Such optimization models have wide applications, e.g., in signal processing, magnetic resonance imaging (MRI), data training, approximation theory, and portfolio selection. Since polynomial functions are non-convex, the problems under consideration are all NP-hard in general. In this paper we shall focus on polynomial-time approximation algorithms. In particular, we first study optimization of a multi-linear tensor function over the Cartesian product of spheres. We shall propose approximation algorithms for such problem and derive worst-case performance ratios, which are shown to be dependent only on the dimensions of the model. The methods are then extended to optimize a generic multi-variate homogeneous polynomial function with spherical constraint. Likewise, approximation algorithms are proposed with provable approximation performance ratios. Furthermore, the constraint set is relaxed to be an intersection of co-centered ellipsoids; namely, we consider maximization of a homogeneous polynomial over the intersection of ellipsoids centered at the origin, and propose polynomial-time approximation algorithms with provable worst-case performance ratios. Numerical results are reported, illustrating the effectiveness of the approximation algorithms studied.[PUBLICATION ABSTRACT]
In this paper, we consider approximation algorithms for optimizing a generic multi-variate homogeneous polynomial function, subject to homogeneous quadratic constraints. Such optimization models have wide applications, e.g., in signal processing, magnetic resonance imaging (MRI), data training, approximation theory, and portfolio selection. Since polynomial functions are non-convex, the problems under consideration are all NP-hard in general. In this paper we shall focus on polynomial-time approximation algorithms. In particular, we first study optimization of a multi-linear tensor function over the Cartesian product of spheres. We shall propose approximation algorithms for such problem and derive worst-case performance ratios, which are shown to be dependent only on the dimensions of the model. The methods are then extended to optimize a generic multi-variate homogeneous polynomial function with spherical constraint. Likewise, approximation algorithms are proposed with provable approximation performance ratios. Furthermore, the constraint set is relaxed to be an intersection of co-centered ellipsoids; namely, we consider maximization of a homogeneous polynomial over the intersection of ellipsoids centered at the origin, and propose polynomial-time approximation algorithms with provable worst-case performance ratios. Numerical results are reported, illustrating the effectiveness of the approximation algorithms studied.
Author He, Simai
Li, Zhening
Zhang, Shuzhong
Author_xml – sequence: 1
  givenname: Simai
  surname: He
  fullname: He, Simai
  organization: Department of Management Sciences, City University of Hong Kong
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  givenname: Zhening
  surname: Li
  fullname: Li, Zhening
  organization: Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong
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  givenname: Shuzhong
  surname: Zhang
  fullname: Zhang, Shuzhong
  email: zhang@se.cuhk.edu.hk
  organization: Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong
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Issue 2
Keywords Multi-linear tensor form
90C26
90C59
15A69
Approximation algorithm
Polynomial function optimization
Intersection
Non convex programming
Linear form
Polynomial approximation
Worst case method
Constraint satisfaction
Polynomial method
Modeling
Convex programming
Sphere
Portfolio selection
Convex function
Approximation theory
Cartesian product
Mathematical programming
Quadratic programming
Set constraint
Nuclear magnetic resonance imaging
Constrained optimization
Polynomial time
Polynomial function
NP hard problem
Signal processing
Homogeneous function
Ellipsoid
Portfolio management
Non convex analysis
Language English
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Springer Nature B.V
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– name: Springer
– name: Springer Nature B.V
References PrakashA.J.ChangC.H.PactwaT.E.Selecting a portfolio with skewness: recent evidence from US, European, and Latin American equity marketsJ Banking Financ.2003271375139010.1016/S0378-4266(02)00261-3
SoA.M.C.YeY.ZhangJ.A unified theorem on SDP rank reductionMath. Oper. Res.20083391092010.1287/moor.1080.03262464650
Gurvits, L.: Classical deterministic complexity of Edmonds’ problem and quantum entanglement. In: Proceedings of the Thirty-Fifth ACM Symposium on Theory of Computing, pp. 10–19, ACM, New York (2003)
MandelbrotB.HudsonR.L.The (Mis)Behavior of Markets2004New YorkBasic Books1140.91004
Ghosh, A., Tsigaridas, E., Descoteaux, M., Comon, P., Mourrain, B., Deriche, R.: A polynomial based approach to extract the maxima of an antipodally symmetric spherical function and its application to extract fiber directions from the orientation distribution function in diffusion MRI. Computational Diffusion MRI Workshop (CDMRI’08), New York (2008)
Parrilo, P.A.: Structured semidefinite programs and semialgebraic geometry methods in robustness and optimization. PhD Dissertation, California Institute of Technology, CA (2000)
LuoZ.Q.SturmJ.F.ZhangS.Multivariate nonnegative quadratic mappingsSIAM J. Optim.200414114011621069.1501910.1137/S10526234034214982112968
GoemansM.X.WilliamsonD.P.Improved approximation algorithms for maximum cut and satisfiability problems using semidefinite programmingJ. ACM199542111511450885.6808810.1145/227683.2276841412228
De KlerkE.The complexity of optimizing over a simplex, hypercube or sphere: a short surveyCentral Eur J. Oper. Res.2008161111251152.9060710.1007/s10100-007-0052-92407041
QiL.WanZ.YangY.F.Global minimization of normal quadratic polynomials based on global descent directionsSIAM J. Optim.2004152753021077.9006610.1137/S10526234034208572112986
SturmJ.F.SeDuMi 1.02, a Matlab toolbox for optimization over symmetric conesOptim. Methods Softw.199911&1262565310.1080/105567899088057661778433
De AthaydeG.M.FlôresR.G.Jr.SatchellS.ScowcroftA.Incorporating skewness and kurtosis in portfolio optimization: a multidimensional efficient set, 10Advances in Portfolio Construction and Implementation2003UKButterworth-Heinemann24325710.1016/B978-075065448-7.50011-2
MaringerD.ParpasP.Global optimization of higher order moments in portfolio selectionJ. Glob. Optim.2009432192301169.9045410.1007/s10898-007-9224-32471883
NesterovYu.Semidefinite relaxation and nonconvex quadratic optimizationOptim. Methods Softw.199891411600904.9013610.1080/105567898088056901618100
QiL.Eigenvalues and invariants of tensorsJ. Math. Anal. Appl.2007325136313771113.1502010.1016/j.jmaa.2006.02.0712270090
ZhangS.HuangY.Complex quadratic optimization and semidefinite programmingSIAM J. Optim.2006168718901113.9011510.1137/04061341X2197560
LuoZ.Q.SidiropoulosN.D.TsengP.ZhangS.Approximation bounds for quadratic optimization with homogeneous quadratic constraintsSIAM J. Optim.2007181281156.900112299671
KroóA.SzabadosJ.Joackson-type theorems in homogeneous approximationJ. Appr. Theory20081521191142.4100310.1016/j.jat.2007.08.005
KofidisE.RegaliaPh.On the best rank-1 approximation of higher order supersymmetric tensorsSIAM J. Matrix Anal. App.2002238638841001.6503510.1137/S08954798013874131896822
LuoZ.Q.ZhangS.A semidefinite relaxation scheme for multivariate quartic polynomial optimization with quadratic constraintsSIAM J. Optim.2010201716173610.1137/0907729522600236
MaricicB.LuoZ.Q.DavidsonT.N.Blind constant modulus equalization via convex optimizationIEEE Trans. Signal Process.20035180581810.1109/TSP.2002.8081121963878
NesterovYu.FrenkJ.B.G.Squared functional systems and optimization problemsHigh Performance Optimization2000DordrechtKluwer Academic Press405440
YeY.Approximating global quadratic optimization with convex quadratic constraintsJ. Glob. Optim.1999151170953.9004010.1023/A:1008370723217
Grant, M., Boyd, S.: CVX: Matlab Software for Disciplined Convex Programming, version 1.2. http://cvxr.com/cvx (2010)
NiQ.QiL.WangF.An eigenvalue method for testing positive definiteness of a multivariate formIEEE Trans. Automat. Contr.2008531096110710.1109/TAC.2008.9236792445667
Nesterov, Yu.: Random walk in a simplex and quadratic optimization over convex polytopes. CORE Discussion Paper. UCL, Louvain-la-Neuve, Belgium (2003)
JondeauE.RockingerM.Optimal portfolio allocation under higher momentsEur. Financ. Manage.200612295510.1111/j.1354-7798.2006.00309.x
LaurentM.PutinarM.SullivantS.Sums of squares, moment matrices and optimization over polynomialsEmerging Applications of Algebraic Geometry, Series: The IMA Volumes in Mathematics and its Applications, vol. 1492009BerlinSpringer
QiL.TeoK.L.Multivariate polynomial minimization and its applications in signal processingJ. Glob. Optim.2003264194331023.9006410.1023/A:10247783090491989748
LasserreJ.B.Polynomials nonnegative on a grid and discrete representationsTrans. Am. Math. Soc.200135463164910.1090/S0002-9947-01-02898-71862561
Barmpoutis, A., Jian, B., Vemuri, B.C., Shepherd, T.M.: Symmetric positive 4th order tensors and their estimation from diffusion weighted MRI. In: Karssemijer, N., Lelieveldt, B. (eds.) IPMI 2007, LNCS 4584, pp. 308–319 (2007)
LasserreJ.B.Global optimization with polynomials and the problem of momentsSIAM J. Optim.2001117968171010.9006110.1137/S10526234003668021814045
De KlerkE.LaurentM.ParriloP.A.A PTAS for the minimization of polynomials of fixed degree over the simplexTheor. Comput. Sci.200626121022510.1016/j.tcs.2006.05.0112252579
Fujisawa, K., Kojima, M., Nakata, K., Yamashita, M.: SDPA (SemiDefinite Programming Algorithm) User’s Manual—version 6.2.0, Research Report B-308, Department of Mathematical and Computing Sciences, Tokyo Institute of Technology, Japan (1995)
HenrionD.LasserreJ.B.GloptiPoly: global optimization over polynomials with Matlab and SeDuMiACM Tran. Math. Soft2003291651941070.6554910.1145/779359.7793632000881
Parpas, P., Rustem, B.: Global optimization of the scenario generation and portfolio selection problems. ICCSA 2006, LNCS 3982, pp. 908–917 (2006)
ZhangS.Quadratic maximization and semidefinite relaxationMath. Prog. A2000874534651009.9008010.1007/s101070050006
HenrionD.LasserreJ.B.LoefbergJ.GloptiPoly 3: moments, optimization and semidefinite programmingOptim. Methods Softw.2009247617791178.9027710.1080/105567808026992012554910
QiL.Eigenvalues of a real supersymmetric tensorJ. Symbolic Comput.200540130213241125.1501410.1016/j.jsc.2005.05.0072178089
ZhangX.QiL.YeY.The cubic spherical optimization problems, Working Paper2009Hong KongThe Hong Kong Polytechnic University
YeY.Approximating quadratic programming with bound and quadratic constraintsMath. Prog.1999842192260971.90056
MicchelliC.A.OlsenP.Penalized maximum-likelihood estimation, the Baum-Welch algorithm, diagonal balancing of symmetric matrices and applications to training acoustic dataJ. Comput. Appl. Math.20001193013310962.6500810.1016/S0377-0427(00)00385-X1774224
TohK.C.ToddM.J.TutuncuR.H.SDPT3—a Matlab software package for semidefinite programmingOptim. Methods Softw.19991154558110.1080/105567899088057621778429
DahlG.LeinaasJ.M.MyrheimJ.OvrumE.A tensor product matrix approximation problem in quantum physicsLinear. Algebra. Appl.20074207117251118.1502710.1016/j.laa.2006.08.0262278245
NemirovskiA.RoosC.TerlakyT.On maximization of quadratic form over intersection of ellipsoids with common centerMath. Prog. A1999864634730944.9005610.1007/s1010700501001733748
VarjúP.P.Approximation by homogeneous polynomialsConst. Appr.2007263173371126.4100410.1007/s00365-006-0639-2
Ben-TalA.NemirovskiA.Lectures on Modern Convex Optimization: Analysis, Algorithms, and Engineering Applications2001PhiladelphiaMPS-SIAM Series on Optimization0986.90032
LingC.NieJ.QiL.YeY.Biquadratic optimization over unit spheres and semidefinite programming relaxationsSIAM J. Optim.200920128613100577937810.1137/0807291042546345
ParriloP.A.Semidefinite programming relaxations for semialgebraic problemsMath. Prog. B2003962933201043.1401810.1007/s10107-003-0387-51993050
QiL.Extrema of a real polynomialJ. Glob. Optim.2004304054331082.9009110.1007/s10898-004-6875-1
HeS.LuoZ.Q.NieJ.ZhangS.Semidefinite relaxation bounds for indefinite homogeneous quadratic optimizationSIAM J. Optim.2008195035231180.9021810.1137/0706790412425027
SoareS.YoonJ.W.CazacuO.On the use of homogeneous polynomials to develop anisotropic yield functions with applications to sheet formingInt. J. Plast.2008249159440527440510.1016/j.ijplas.2007.07.016
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G. Dahl (409_CR3) 2007; 420
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A. Nemirovski (409_CR29) 1999; 86
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B. Maricic (409_CR26) 2003; 51
Y. Ye (409_CR48) 1999; 84
References_xml – reference: NiQ.QiL.WangF.An eigenvalue method for testing positive definiteness of a multivariate formIEEE Trans. Automat. Contr.2008531096110710.1109/TAC.2008.9236792445667
– reference: JondeauE.RockingerM.Optimal portfolio allocation under higher momentsEur. Financ. Manage.200612295510.1111/j.1354-7798.2006.00309.x
– reference: VarjúP.P.Approximation by homogeneous polynomialsConst. Appr.2007263173371126.4100410.1007/s00365-006-0639-2
– reference: GoemansM.X.WilliamsonD.P.Improved approximation algorithms for maximum cut and satisfiability problems using semidefinite programmingJ. ACM199542111511450885.6808810.1145/227683.2276841412228
– reference: ParriloP.A.Semidefinite programming relaxations for semialgebraic problemsMath. Prog. B2003962933201043.1401810.1007/s10107-003-0387-51993050
– reference: Ben-TalA.NemirovskiA.Lectures on Modern Convex Optimization: Analysis, Algorithms, and Engineering Applications2001PhiladelphiaMPS-SIAM Series on Optimization0986.90032
– reference: LaurentM.PutinarM.SullivantS.Sums of squares, moment matrices and optimization over polynomialsEmerging Applications of Algebraic Geometry, Series: The IMA Volumes in Mathematics and its Applications, vol. 1492009BerlinSpringer
– reference: De KlerkE.LaurentM.ParriloP.A.A PTAS for the minimization of polynomials of fixed degree over the simplexTheor. Comput. Sci.200626121022510.1016/j.tcs.2006.05.0112252579
– reference: QiL.Eigenvalues of a real supersymmetric tensorJ. Symbolic Comput.200540130213241125.1501410.1016/j.jsc.2005.05.0072178089
– reference: Ghosh, A., Tsigaridas, E., Descoteaux, M., Comon, P., Mourrain, B., Deriche, R.: A polynomial based approach to extract the maxima of an antipodally symmetric spherical function and its application to extract fiber directions from the orientation distribution function in diffusion MRI. Computational Diffusion MRI Workshop (CDMRI’08), New York (2008)
– reference: QiL.Eigenvalues and invariants of tensorsJ. Math. Anal. Appl.2007325136313771113.1502010.1016/j.jmaa.2006.02.0712270090
– reference: HeS.LuoZ.Q.NieJ.ZhangS.Semidefinite relaxation bounds for indefinite homogeneous quadratic optimizationSIAM J. Optim.2008195035231180.9021810.1137/0706790412425027
– reference: LasserreJ.B.Polynomials nonnegative on a grid and discrete representationsTrans. Am. Math. Soc.200135463164910.1090/S0002-9947-01-02898-71862561
– reference: YeY.Approximating global quadratic optimization with convex quadratic constraintsJ. Glob. Optim.1999151170953.9004010.1023/A:1008370723217
– reference: HenrionD.LasserreJ.B.GloptiPoly: global optimization over polynomials with Matlab and SeDuMiACM Tran. Math. Soft2003291651941070.6554910.1145/779359.7793632000881
– reference: QiL.Extrema of a real polynomialJ. Glob. Optim.2004304054331082.9009110.1007/s10898-004-6875-1
– reference: TohK.C.ToddM.J.TutuncuR.H.SDPT3—a Matlab software package for semidefinite programmingOptim. Methods Softw.19991154558110.1080/105567899088057621778429
– reference: ZhangS.Quadratic maximization and semidefinite relaxationMath. Prog. A2000874534651009.9008010.1007/s101070050006
– reference: DahlG.LeinaasJ.M.MyrheimJ.OvrumE.A tensor product matrix approximation problem in quantum physicsLinear. Algebra. Appl.20074207117251118.1502710.1016/j.laa.2006.08.0262278245
– reference: De KlerkE.The complexity of optimizing over a simplex, hypercube or sphere: a short surveyCentral Eur J. Oper. Res.2008161111251152.9060710.1007/s10100-007-0052-92407041
– reference: NesterovYu.FrenkJ.B.G.Squared functional systems and optimization problemsHigh Performance Optimization2000DordrechtKluwer Academic Press405440
– reference: MaricicB.LuoZ.Q.DavidsonT.N.Blind constant modulus equalization via convex optimizationIEEE Trans. Signal Process.20035180581810.1109/TSP.2002.8081121963878
– reference: Parrilo, P.A.: Structured semidefinite programs and semialgebraic geometry methods in robustness and optimization. PhD Dissertation, California Institute of Technology, CA (2000)
– reference: YeY.Approximating quadratic programming with bound and quadratic constraintsMath. Prog.1999842192260971.90056
– reference: MandelbrotB.HudsonR.L.The (Mis)Behavior of Markets2004New YorkBasic Books1140.91004
– reference: SturmJ.F.SeDuMi 1.02, a Matlab toolbox for optimization over symmetric conesOptim. Methods Softw.199911&1262565310.1080/105567899088057661778433
– reference: QiL.WanZ.YangY.F.Global minimization of normal quadratic polynomials based on global descent directionsSIAM J. Optim.2004152753021077.9006610.1137/S10526234034208572112986
– reference: Fujisawa, K., Kojima, M., Nakata, K., Yamashita, M.: SDPA (SemiDefinite Programming Algorithm) User’s Manual—version 6.2.0, Research Report B-308, Department of Mathematical and Computing Sciences, Tokyo Institute of Technology, Japan (1995)
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– reference: QiL.TeoK.L.Multivariate polynomial minimization and its applications in signal processingJ. Glob. Optim.2003264194331023.9006410.1023/A:10247783090491989748
– reference: NemirovskiA.RoosC.TerlakyT.On maximization of quadratic form over intersection of ellipsoids with common centerMath. Prog. A1999864634730944.9005610.1007/s1010700501001733748
– reference: SoA.M.C.YeY.ZhangJ.A unified theorem on SDP rank reductionMath. Oper. Res.20083391092010.1287/moor.1080.03262464650
– reference: ZhangS.HuangY.Complex quadratic optimization and semidefinite programmingSIAM J. Optim.2006168718901113.9011510.1137/04061341X2197560
– reference: LingC.NieJ.QiL.YeY.Biquadratic optimization over unit spheres and semidefinite programming relaxationsSIAM J. Optim.200920128613100577937810.1137/0807291042546345
– reference: MaringerD.ParpasP.Global optimization of higher order moments in portfolio selectionJ. Glob. Optim.2009432192301169.9045410.1007/s10898-007-9224-32471883
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– reference: KroóA.SzabadosJ.Joackson-type theorems in homogeneous approximationJ. Appr. Theory20081521191142.4100310.1016/j.jat.2007.08.005
– reference: LuoZ.Q.SturmJ.F.ZhangS.Multivariate nonnegative quadratic mappingsSIAM J. Optim.200414114011621069.1501910.1137/S10526234034214982112968
– reference: KofidisE.RegaliaPh.On the best rank-1 approximation of higher order supersymmetric tensorsSIAM J. Matrix Anal. App.2002238638841001.6503510.1137/S08954798013874131896822
– reference: Parpas, P., Rustem, B.: Global optimization of the scenario generation and portfolio selection problems. ICCSA 2006, LNCS 3982, pp. 908–917 (2006)
– reference: LasserreJ.B.Global optimization with polynomials and the problem of momentsSIAM J. Optim.2001117968171010.9006110.1137/S10526234003668021814045
– reference: De AthaydeG.M.FlôresR.G.Jr.SatchellS.ScowcroftA.Incorporating skewness and kurtosis in portfolio optimization: a multidimensional efficient set, 10Advances in Portfolio Construction and Implementation2003UKButterworth-Heinemann24325710.1016/B978-075065448-7.50011-2
– reference: LuoZ.Q.ZhangS.A semidefinite relaxation scheme for multivariate quartic polynomial optimization with quadratic constraintsSIAM J. Optim.2010201716173610.1137/0907729522600236
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– reference: NesterovYu.Semidefinite relaxation and nonconvex quadratic optimizationOptim. Methods Softw.199891411600904.9013610.1080/105567898088056901618100
– reference: SoareS.YoonJ.W.CazacuO.On the use of homogeneous polynomials to develop anisotropic yield functions with applications to sheet formingInt. J. Plast.2008249159440527440510.1016/j.ijplas.2007.07.016
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Snippet In this paper, we consider approximation algorithms for optimizing a generic multi-variate homogeneous polynomial function, subject to homogeneous quadratic...
Issue Title: 20th International Symposium on Mathematical Programming - ISMP 2009 In this paper, we consider approximation algorithms for optimizing a generic...
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SubjectTerms Algorithms
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