Journal article
Faster, but weaker, relaxations for quadratically constrained quadratic programs
Computational optimization and applications, Vol.59(1-2), pp.27-45
10/01/2014
DOI: 10.1007/s10589-013-9618-8
Abstract
We introduce a new relaxation framework for nonconvex quadratically constrained quadratic programs (QCQPs). In contrast to existing relaxations based on semidefinite programming (SDP), our relaxations incorporate features of both SDP and second order cone programming (SOCP) and, as a result, solve more quickly than SDP. A downside is that the calculated bounds are weaker than those gotten by SDP. The framework allows one to choose a block-diagonal structure for the mixed SOCP-SDP, which in turn allows one to control the speed and bound quality. For a fixed block-diagonal structure, we also introduce a procedure to improve the bound quality without increasing computation time significantly. The effectiveness of our framework is illustrated on a large sample of QCQPs from various sources.
Details
- Title: Subtitle
- Faster, but weaker, relaxations for quadratically constrained quadratic programs
- Creators
- Samuel Burer - University of IowaSunyoung Kim - Ewha Womans UniversityMasakazu Kojima - Chuo University
- Resource Type
- Journal article
- Publication Details
- Computational optimization and applications, Vol.59(1-2), pp.27-45
- Publisher
- Springer Nature
- DOI
- 10.1007/s10589-013-9618-8
- ISSN
- 0926-6003
- eISSN
- 1573-2894
- Number of pages
- 19
- Grant note
- 26242027 / Grants-in-Aid for Scientific Research; Ministry of Education, Culture, Sports, Science and Technology, Japan (MEXT); Japan Society for the Promotion of Science; Grants-in-Aid for Scientific Research (KAKENHI) Japan Science and Technology Agency (JST), Core Research of Evolutionary Science and Technology (CREST) Research Project CCF-0545514 / NSF; National Science Foundation (NSF) 2012-R1A1A2-038982; 2010-000-8784 / NRF
- Language
- English
- Date published
- 10/01/2014
- Academic Unit
- Business Analytics
- Record Identifier
- 9984380535102771
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