On standard quadratic optimization problems

被引:111
作者
Bomze, IM [1 ]
机构
[1] Univ Vienna, ISOC, Vienna, Austria
关键词
maximum clique; optimality conditions; portfolio selection; quadratic programming;
D O I
10.1023/A:1008369322970
中图分类号
C93 [管理学]; O22 [运筹学];
学科分类号
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要
A standard quadratic optimization problem (QP) consists of finding (global) maximizers of a quadratic form over the standard simplex. Standard QPs arise quite naturally in copositivity-based procedures which enable an escape from local solutions. Furthermore, several important applications yield optimization problems which can be cast into a standard QP in a straightforward way. As an example, a new continuous reformulation of the maximum weight clique problem in undirected graphs is presented which considerably improves previous attacks both as numerical stability and interpretation of the results are concerned. Apparently also for the first time, an equivalence between standard QPs and QPs on the positive orthant is established. Also, a recently presented global optimization procedure (GENF - genetical engineering via negative fitness) is shortly reviewed.
引用
收藏
页码:369 / 387
页数:19
相关论文
共 55 条
[31]   STEREO CORRESPONDENCE THROUGH FEATURE GROUPING AND MAXIMAL CLIQUES [J].
HORAUD, R ;
SKORDAS, T .
IEEE TRANSACTIONS ON PATTERN ANALYSIS AND MACHINE INTELLIGENCE, 1989, 11 (11) :1168-1180
[32]  
Horst R., 1995, INTRO GLOBAL OPTIMIZ
[33]  
Huang C.F. Litzenberger., 1988, FDN FINANCIAL EC
[34]   ON THE FOUNDATIONS OF RELAXATION LABELING PROCESSES [J].
HUMMEL, RA ;
ZUCKER, SW .
IEEE TRANSACTIONS ON PATTERN ANALYSIS AND MACHINE INTELLIGENCE, 1983, 5 (03) :267-287
[35]  
KNUTH DE, 1994, ELECT J COMBINATOR A, V1
[36]   AN INTRODUCTION TO THE APPLICATION OF THE THEORY OF PROBABILISTIC FUNCTIONS OF A MARKOV PROCESS TO AUTOMATIC SPEECH RECOGNITION [J].
LEVINSON, SE ;
RABINER, LR ;
SONDHI, MM .
BELL SYSTEM TECHNICAL JOURNAL, 1983, 62 (04) :1035-1074
[37]   AN ALGORITHM FOR THE MAXIMUM INTERNALLY STABLE SET IN A WEIGHTED GRAPH [J].
LOUKAKIS, E ;
TSOUROS, C .
INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS, 1983, 13 (02) :117-129
[38]  
Lyubich Yu. I., 1980, Problems of Information Transmission, V16, P66
[39]   PORTFOLIO SELECTION [J].
Markowitz, Harry .
JOURNAL OF FINANCE, 1952, 7 (01) :77-91
[40]  
MARKOWITZ HM, 1995, MATH MODELS FINANCE, P93