A robust solution approach for nonconvex quadratic programs with additional multiplicative constraints
- 作者：Peiping Shen ; Yunpeng Duan ; Yuan Ma
- 关键词：Global optimization ; Multiplicative programming ; Robust solution ; Essential optimal solution ; Monotonic optimization
- 刊名：Applied Mathematics and Computation
- 出版年：2008
- 期刊代码：7_00963003
- 类别：cp
- 出版时间：15 July 2008
- 卷：201
- 期：1-2
- 页码：514-526
- 文件大小：191 K
摘要
In this paper, a robust algorithm is proposed for globally solving a nonconvex quadratic programming problem (P1) with several additional multiplicative constraints. To our knowledge, little progress has been made so far for globally solving problem (P1). The proposed algorithm is based on a robust solution approach that provides an essential SCS2-6&_mathId=mml1&_user=1067359&_cdi=5612&_rdoc=49&_acct=C000050221&_version=1&_userid=10&md5=de62884d99936a6cb745cced7f1321ae" title="Click to view the MathML source" alt="Click to view the MathML source">ε-optimal solution. This solution is also stable under small perturbations of the constraints, and it turns out that such a robust optimal solution is adequately guaranteed to be feasible and to be close to the actual optimal solution. Convergence of the algorithm is shown and three solved sample problems are given to illustrate the robust stability and feasibility of the present algorithm.