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Faster, but weaker, relaxations for quadratically constrained quadratic programs

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  • Samuel Burer
  • Sunyoung Kim
  • Masakazu Kojima

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. Copyright Springer Science+Business Media New York 2014

Suggested Citation

  • Samuel Burer & Sunyoung Kim & Masakazu Kojima, 2014. "Faster, but weaker, relaxations for quadratically constrained quadratic programs," Computational Optimization and Applications, Springer, vol. 59(1), pages 27-45, October.
    • Handle: RePEc:spr:coopap:v:59:y:2014:i:1:p:27-45
    DOI: 10.1007/s10589-013-9618-8
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    References listed on IDEAS

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    1. de Klerk, E. & Sotirov, R., 2007. "Exploiting Group Symmetry in Semidefinite Programming Relaxations of the Quadratic Assignment Problem," Discussion Paper 2007-44, Tilburg University, Center for Economic Research.
    2. X. Zheng & X. Sun & D. Li, 2011. "Nonconvex quadratically constrained quadratic programming: best D.C. decompositions and their SDP representations," Journal of Global Optimization, Springer, vol. 50(4), pages 695-712, August.
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    Cited by:

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    2. Zhijun Xu & Jing Zhou, 2023. "A simultaneous diagonalization based SOCP relaxation for portfolio optimization with an orthogonality constraint," Computational Optimization and Applications, Springer, vol. 85(1), pages 247-261, May.

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