Abstract
The aim of this paper is to find the global solutions of uncertain optimization problems having a quadratic objective function and quadratic inequality constraints. The bounded epistemic uncertainties in the constraint coefficients are represented using either universal or existential quantified parameters and interval parameter domains. This approach allows to model non-controlled uncertainties by using universally quantified parameters and controlled uncertainties by using existentially quantified ones. While existentially quantified parameters could be equivalently considered as additional variables, keeping them as parameters allows maintaining the quadratic problem structure, which is essential for the proposed algorithm. The branch and bound algorithm presented in the paper handles both universally and existentially quantified parameters in a homogeneous way, without branching on their domains, and uses some dedicated numerical constraint programming techniques for finding a robust, global solution. Several examples clarify the theoretical parts and the tests demonstrate the usefulness of the proposed method.
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Notes
The inconsistency seems to come from the fact that the new constraint after the change of variable involved in Appendix B of [30] contains several occurrences of universally quantified parameters, hence breaking the structure of the problem.
Also called splitting or branching.
Rigorously checking that an interval matrix is full rank can be done e.g. by using the interval Gauss elimination or by preconditioning the matrix using some approximation of generalized inverse of is midpoint.
Necessary for rigorously handling rounding errors.
constrained optimization problems usually have at least one active constraint at a minimizer.
Computed by averaging over the times divided by the number of pruning steps.
The cluster effect is a usual phenomenon when solving global optimization problems, see e.g., [14].
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Domes, F., Goldsztejn, A. A branch and bound algorithm for quantified quadratic programming. J Glob Optim 68, 1–22 (2017). https://doi.org/10.1007/s10898-016-0462-0
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DOI: https://doi.org/10.1007/s10898-016-0462-0