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On the Indefinite Quadratic Fractional Optimization with Two Quadratic Constraints

Author

Listed:
  • S. Fallahi

    (University of Guilan)

  • M. Salahi

    (University of Guilan)

Abstract

In this paper, we consider minimizing the ratio of two indefinite quadratic functions subject to two quadratic constraints. Using the extension of Charnes–Cooper transformation, we transform the problem to a homogenized quadratic problem. Then, we show that, under certain assumptions, it can be solved to global optimality using semidefinite optimization relaxation.

Suggested Citation

  • S. Fallahi & M. Salahi, 2014. "On the Indefinite Quadratic Fractional Optimization with Two Quadratic Constraints," Journal of Optimization Theory and Applications, Springer, vol. 162(1), pages 249-256, July.
    • Handle: RePEc:spr:joptap:v:162:y:2014:i:1:d:10.1007_s10957-013-0417-2
    DOI: 10.1007/s10957-013-0417-2
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    References listed on IDEAS

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    1. Lo, Andrew W. & Mackinlay, A. Craig, 1997. "Maximizing Predictability In The Stock And Bond Markets," Macroeconomic Dynamics, Cambridge University Press, vol. 1(1), pages 102-134, January.
    2. Jos F. Sturm & Shuzhong Zhang, 2003. "On Cones of Nonnegative Quadratic Functions," Mathematics of Operations Research, INFORMS, vol. 28(2), pages 246-267, May.
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    Cited by:

    1. Van-Bong Nguyen & Thi Ngan Nguyen & Ruey-Lin Sheu, 2020. "Strong duality in minimizing a quadratic form subject to two homogeneous quadratic inequalities over the unit sphere," Journal of Global Optimization, Springer, vol. 76(1), pages 121-135, January.

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