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Canonical Duality Theory and Solutions to Constrained Nonconvex Quadratic Programming

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Abstract

This paper presents a perfect duality theory and a complete set of solutions to nonconvex quadratic programming problems subjected to inequality constraints. By use of the canonical dual transformation developed recently, a canonical dual problem is formulated, which is perfectly dual to the primal problem in the sense that they have the same set of KKT points. It is proved that the KKT points depend on the index of the Hessian matrix of the total cost function. The global and local extrema of the nonconvex quadratic function can be identified by the triality theory [11]. Results show that if the global extrema of the nonconvex quadratic function are located on the boundary of the primal feasible space, the dual solutions should be interior points of the dual feasible set, which can be solved by deterministic methods. Certain nonconvex quadratic programming problems in {\open {R}}^{n} can be converted into a dual problem with only one variable. It turns out that a complete set of solutions for quadratic programming over a sphere is obtained as a by-product. Several examples are illustrated.

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  1. Department of Mathematics, Virginia Polytechnic Institute and State University, Blacksburg, VA, 24061, USA e-mail

    David Yang Gao

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Gao, D.Y. Canonical Duality Theory and Solutions to Constrained Nonconvex Quadratic Programming. Journal of Global Optimization 29, 377–399 (2004). https://doi.org/10.1023/B:JOGO.0000048034.94449.e3

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