Abstract
We investigate in this paper nonconvex binary quadratically constrained quadratic programming (QCQP) which arises in various real-life fields. We propose a novel approach of getting quadratic convex reformulation (QCR) for this class of optimization problem. Our approach employs quadratic surrogate functions and convexifies all the quadratic inequality constraints to construct QCR. The price of this approach is the introduction of an extra quadratic inequality. The “best” QCR among the proposed family, in terms that the bound of the corresponding continuous relaxation is best, can be found via solving a semidefinite programming problem. Furthermore, we prove that the bound obtained by continuous relaxation of our best QCR is as tight as Lagrangian bound of binary QCQP. Computational experiment is also conducted to illustrate the solution efficiency improvement of our best QCR when applied in off-the-shell software.
Similar content being viewed by others
References
Al-Khayyal, F.A., Larsen, C., Van Voorhis, T.: A relaxation method for nonconvex quadratically constrained quadratic programs. J. Global Optim. 6, 215–230 (1995)
Anstreicher, K.M.: Semidefinite programming versus the reformulation-linearization technique for nonconvex quadratically constrained quadratic programming. J. Global Optim. 43, 471–484 (2009)
Audet, C., Hansen, P., Jaumard, B., Savard, G.: A branch and cut algorithm for nonconvex quadratically constrained quadratic programming. Math. Program. 87, 131–152 (2000)
Beck, A., Eldar, Y.C.: Strong duality in nonconvex quadratic optimization with two quadratic constraints. SIAM J. Optim. 17, 844–860 (2007)
Billionnet, A., Elloumi, S.: Using a mixed integer quadratic programming solver for the unconstrained quadratic 0–1 problem. Math. Program. 109, 55–68 (2007)
Billionnet, A., Elloumi, S., Lambert, A.: Extending the QCR method to general mixed-integer programs. Math. Program. 131, 381–401 (2012)
Billionnet, A., Elloumi, S., Lambert, A.: Exact quadratic convex reformulations of mixed-integer quadratically constrained problems. Math. Program. (2015). https://doi.org/10.1007/s10107-015-0921-2
Billionnet, A., Elloumi, S., Plateau, M.: Improving the performance of standard solvers for quadratic 0–1 programs by a tight convex reformulation: the QCR method. Discrete Appl. Math. 157, 1185–1197 (2009)
Burer, S., Saxena, A.: Old wine in new bottle: the milp road to miqcp. Technical Report, Department of Management Sciences University of Iowa (2009). http://www.optimization-online.org/DB_FILE/2009/07/2338.pdf
Cui, X.T., Zheng, X.J., Zhu, S.S., Sun, X.L.: Convex relaxations and miqcqp reformulations for a class of cardinality-constrained portfolio selection problems. J. Global Optim. 56, 1409–1423 (2013)
Galli, L., Letchford, A.: A compact variant of the QCR method for quadratically constrained quadratic 0–1 programs. Optim. Lett. 8, 1213–1224 (2014)
Garey, M., Johnson, D.: Computers and Intractability: An Guide to the Theory of NP-Completeness. W.H. Freeman, San Francisco (1979)
Gower, J.: Euclidean distance geometry. Math. Sci. 7(1), 1–14 (1982)
Grant, M., Boyd, S.: CVX: Matlab software for disciplined convex programming, version 2.1, (2014). http://cvxr.com/cvx
Hammer, P., Rubin, A.: Some remarks on quadratic programming with 0–1 variables. RIRO 3, 67–79 (1970)
Kim, S., Kojima, M.: Exact solutions of some nonconvex quadratic optimization problems via SDP and SOCP relaxations. Comput. Optim. Appl. 26, 143–154 (2003)
Klose, A., Drexl, A.: Facility location models for distribution system design. Europ. J. Oper. Res. 162, 4–29 (2005)
Kolbert, F., Wormald, L.: Robust portfolio optimization using second-order cone programming. In: Satchell, S. (ed.) Optimizing Optimization: The Next Generation of Optimization Applications & Theory, pp. 3–22. Academic Press and Elsevier, Amsterdam (2010)
Linderoth, J.: A simplicial branch-and-bound algorithm for solving quadratically constrained quadratic programs. Math. Program. 103, 251–282 (2005)
McCormick, G.: Computability of global solutions to factorable nonconvex programs: part Iconvex underestimating problems. Math. program. 10, 147–175 (1976)
Nesterov, Y., Nemirovsky, A.: Interior-Point Polynomial Methods in Convex Programming. SIAM, Philadelphia (1994)
Pardalos, P.M., Rodgers, G.P.: Computational aspects of a branch and bound algorithm for quadratic zero–one programming. Computing 45, 131–144 (1990)
Raber, U.: A simplicial branch-and-bound method for solving nonconvex all-quadratic programs. J. Global Optim. 13, 417–432 (1998)
Saxena, A., Bonami, P., Lee, J.: Convex relaxations of non-convex mixed integer quadratically constrained programs: projected formulations. Math. Program. 130, 359–413 (2011)
Sherali, H.D., Adams, W.P.: A Reformulation–Linearization Technique for Solving Discrete and Continuous Nonconvex Problems. Kluwer Academic Publishers, Dordrecht (1999)
Vandenberghe, L., Boyd, S.: Semidefinite programming. SIAM Rev. 38, 49–95 (1996)
Ye, Y., Zhang, S.: New results on quadratic minimization. SIAM J. Optim. 14, 245–267 (2004)
Zhang, S.: Quadratic maximization and semidefinite relaxation. Math. Program. 87, 453–465 (2000)
Zheng, X.J., Sun, X.L., Li, D.: Convex relaxations for nonconvex quadratically constrained quadratic programming: matrix cone decomposition and polyhedral approximation. Math. program. 129, 301–329 (2011)
Zheng, X.J., Sun, X.L., Li, D.: Nonconvex quadratically constrained quadratic programming: best DC decompositions and their SDP representations. J. Global Optim. 50, 695–712 (2011)
Acknowledgements
The authors would like to thank three anonymous referees for their constructive suggestions and insightful comments, which helped improve the paper substantially.
Author information
Authors and Affiliations
Corresponding author
Additional information
This work was supported by National Natural Science Foundation of China under Grants 11671300, 11371103 and 71501122.
Rights and permissions
About this article
Cite this article
Zheng, X., Pan, Y. & Cui, X. Quadratic convex reformulation for nonconvex binary quadratically constrained quadratic programming via surrogate constraint. J Glob Optim 70, 719–735 (2018). https://doi.org/10.1007/s10898-017-0591-0
Received:
Accepted:
Published:
Issue Date:
DOI: https://doi.org/10.1007/s10898-017-0591-0