On Extensions of the Frank-Wolfe Theorems

  • Authors:
  • Zhi-Quan Luo;Shuzhong Zhang

  • Affiliations:
  • Communication Research Lab, Department of Electrical and Computer Engineering, McMaster University, Hamilton, Ontario, L8S 4L7, Canadaluozq@mcmail.cis.mcmaster.ca;Econometric Institute, Erasmus University Rotterdam, The Netherlandszhang@few.neur.nl

  • Venue:
  • Computational Optimization and Applications - Special issue on computational optimization—a tribute to Olvi Mangasarian, part II
  • Year:
  • 1999

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Abstract

In this paper we consider optimization problems defined by aquadratic objective functionand a finite number of quadratic inequality constraints.Given that the objective function is bounded over the feasibleset, we present a comprehensive study of theconditions under which the optimal solution set is nonempty, thusextending the so-called Frank-Wolfe theorem.In particular, we first prove a general continuityresult for the solution set defined by a system ofconvex quadratic inequalities. This result implies immediatelythat the optimal solution set of the aforementioned problem isnonempty when all the quadratic functions involved are convex. In the absence of the convexity of the objective function,we give examples showing that the optimal solution set maybe empty either when there are two or more convex quadraticconstraints, or when the Hessian of the objective function has two or more negative eigenvalues. In the case when there exists only one convexquadratic inequality constraint (together with other linearconstraints), or when the constraintfunctions are all convex quadratic and the objective function isquasi-convex (thus allowing one negative eigenvalue in its Hessian matrix), we prove that the optimal solution set is nonempty.