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The exact solution of multiparametric quadratically constrained quadratic programming problems

Author

Listed:
  • Iosif Pappas

    (Texas A&M University
    Texas A&M University)

  • Nikolaos A. Diangelakis

    (Texas A&M University
    Texas A&M University)

  • Efstratios N. Pistikopoulos

    (Texas A&M University
    Texas A&M University)

Abstract

In this paper, we present a strategy for the exact solution of multiparametric quadratically constrained quadratic programs (mpQCQPs). Specifically, we focus on multiparametric optimization problems with a convex quadratic objective function, quadratic inequality and linear equality constraints, described by constant matrices. The proposed approach is founded on the expansion of the Basic Sensitivity Theorem to a second-order Taylor approximation, which enables the derivation of the exact parametric solution of mpQCQPs. We utilize an active set strategy to implicitly explore the parameter space, based on which (i) the complete map of parametric solutions for convex mpQCQPs is constructed, and (ii) the determination of the optimal parametric solution for every feasible parameter realization reduces to a nonlinear function evaluation. Based on the presented results, we utilize the second-order approximation to the Basic Sensitivity Theorem to expand to the case of nonconvex quadratic constraints, by employing the Fritz John necessary conditions. Example problems are provided to illustrate the algorithmic steps of the proposed approach.

Suggested Citation

  • Iosif Pappas & Nikolaos A. Diangelakis & Efstratios N. Pistikopoulos, 2021. "The exact solution of multiparametric quadratically constrained quadratic programming problems," Journal of Global Optimization, Springer, vol. 79(1), pages 59-85, January.
  • Handle: RePEc:spr:jglopt:v:79:y:2021:i:1:d:10.1007_s10898-020-00933-9
    DOI: 10.1007/s10898-020-00933-9
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    References listed on IDEAS

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    Cited by:

    1. Addis Belete Zewde & Semu Mitiku Kassa, 2023. "A novel approach for solving multi-parametric problems with nonlinear constraints," Journal of Global Optimization, Springer, vol. 85(2), pages 283-313, February.
    2. Natnael Nigussie Goshu & Semu Mitiku Kassa, 2024. "A solution method for stochastic multilevel programming problems. A systematic sampling evolutionary approach," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 34(1), pages 149-174.

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