Duality Bound Method for the General Quadratic Programming Problem with Quadratic Constraints
- Cite this article as:
- Thoai, N.V. Journal of Optimization Theory and Applications (2000) 107: 331. doi:10.1023/A:1026437621223
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The purpose of this article is to develop a branch-and-bound algorithm using duality bounds for the general quadratically-constrained quadratic programming problem and having the following properties: (i) duality bounds are computed by solving ordinary linear programs; (ii) they are at least as good as the lower bounds obtained by solving relaxed problems, in which each nonconvex function is replaced by its convex envelope; (iii) standard convergence properties of branch-and-bound algorithms for nonconvex global optimization problems are guaranteed. Numerical results of preliminary computational experiments for the case of one quadratic constraint are reported.