Exact Solutions of Some Nonconvex Quadratic Optimization Problems via SDP and SOCP Relaxations

Authors:
Sunyoung Kim;Masakazu Kojima
Affiliations:
Department of Mathematics, Ewha Women's University, 11-1 Dahyun-dong, Sudaemoon-gu, Seoul 120-750, Korea. skim@ewha.ac.kr skim@is.titech.ac.jp;Department of Mathematical and Computing Sciences, Tokyo Institute of Technology, 2-12-1 Oh-Okayama, Meguro-ku, Tokyo 152-8552, Japan. kojima@is.titech.ac.jp
Venue:
Computational Optimization and Applications
Year:
2003

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Abstract

We show that SDP (semidefinite programming) and SOCP (second order cone programming) relaxations provide exact optimal solutions for a class of nonconvex quadratic optimization problems. It is a generalization of the results by S. Zhang for a subclass of quadratic maximization problems that have nonnegative off-diagonal coefficient matrices of quadratic objective functions and diagonal coefficient matrices of quadratic constraint functions. A new SOCP relaxation is proposed for the class of nonconvex quadratic optimization problems by extracting valid quadratic inequalities for positive semidefinite cones. Its effectiveness to obtain optimal values is shown to be the same as the SDP relaxation theoretically. Numerical results are presented to demonstrate that the SOCP relaxation is much more efficient than the SDP relaxation.