Finding a Global Optimal Solution for a Quadratically Constrained Fractional Quadratic Problem with Applications to the Regularized Total Least Squares

• Authors: Amir Beck;Aharon Ben-Tal;Marc Teboulle
• Venue: SIAM Journal on Matrix Analysis and Applications
• Year: 2006

We consider the problem of minimizing a fractional quadratic problem involving the ratio of two indefinite quadratic functions, subject to a two-sided quadratic form constraint. This formulation is motivated by the so-called regularized total least squares (RTLS) problem. A key difficulty with this problem is its nonconvexity, and all current known methods to solve it are guaranteed only to converge to a point satisfying first order necessary optimality conditions. We prove that a global optimal solution to this problem can be found by solving a sequence of very simple convex minimization problems parameterized by a single parameter. As a result, we derive an efficient algorithm that produces an $\epsilon$-global optimal solution in a computational effort of $O(n^3 \log \epsilon^{-1})$. The algorithm is tested on problems arising from the inverse Laplace transform and image deblurring. Comparison to other well-known RTLS solvers illustrates the attractiveness of our new method.