A two-phase sequential algorithm for global optimization of the standard quadratic programming problem
Résumé
We introduce a new sequential algorithm for the Standard Quadratic Programming Problem
(StQP), which exploits a formulation of StQP as a Linear Program with Linear Complementarity Constraints
(LPLCC). The algorithm is finite and guarantees at least in theory a δ-approximate global minimum for
an arbitrary small δ, which is a global minimum in practice. The sequential algorithm has two phases. In
Phase 1, Stationary Points (SP) with strictly decreasing objective function values are computed. Phase 2
is designed for giving a certificate of global optimality for the last SP computed in Phase 1. Two different
Nonlinear Programming Formulations for LPLCC are proposed for each one of these phases, which are
solved by efficient enumerative algorithms. New procedures for computing a lower bound for StQP are also
proposed, which are easy to implement and give tight bounds in general. Computational experiments with a
number of test problems from known sources indicate that the two-phase sequential algorithm is, in general,
efficient in practice. Furthermore, the algorithm seems to be an efficient way to study the copositivity of a
matrix by exploiting an StQP with this matrix.
Origine : Fichiers produits par l'(les) auteur(s)