Solving Standard Quadratic Optimization Problems via Linear, Semidefinite and Copositive Programming

Authors:
Immanuel M. Bomze;Etienne De Klerk
Affiliations:
ISDS, Universitä/t Wien, Vienna, Austria/ E-mail: immanuel.bomze@univie.ac.at;Faculty of Information Technology and Systems, Delft University of Technology, P.O. Box 5031, 2600 GA Delft, The Netherlands/ E-mail: E.deKlerk@ITS.TUDelft.NL
Venue:
Journal of Global Optimization
Year:
2002

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Abstract

The problem of minimizing a (non-convex) quadratic function over the simplex (the standard quadratic optimization problem) has an exact convex reformulation as a copositive programming problem. In this paper we show how to approximate the optimal solution by approximating the cone of copositive matrices via systems of linear inequalities, and, more refined, linear matrix inequalities (LMI's). In particular, we show that our approach leads to a polynomial-time approximation scheme for the standard quadratic optimzation problem. This is an improvement on the previous complexity result by Nesterov who showed that a 2/3-approximation is always possible. Numerical examples from various applications are provided to illustrate our approach.