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A Newton-bracketing method for a simple conic optimization problem
Optimization Methods & Software ( IF 1.4 ) Pub Date : 2020-07-01 , DOI: 10.1080/10556788.2020.1782906
Sunyoung Kim 1 , Masakazu Kojima 2 , Kim-Chuan Toh 3
Affiliation  

For the Lagrangian-DNN relaxation of quadratic optimization problems (QOPs), we propose a Newton-bracketing method to improve the performance of the bisection-projection method implemented in BBCPOP [ACM Tran. Softw., 45(3):34 (2019)]. The relaxation problem is converted into the problem of finding the largest zero y of a continuously differentiable (except at y) convex function g:RR such that g(y)=0 if yy and g(y)>0 otherwise. In theory, the method generates lower and upper bounds of y both converging to y. Their convergence is quadratic if the right derivative of g at y is positive. Accurate computation of g(y) is necessary for the robustness of the method, but it is difficult to achieve in practice. As an alternative, we present a secant-bracketing method. We demonstrate that the method improves the quality of the lower bounds obtained by BBCPOP and SDPNAL+ for binary QOP instances from BIQMAC. Moreover, new lower bounds for the unknown optimal values of large scale QAP instances from QAPLIB are reported.



中文翻译:

一个简单的圆锥优化问题的牛顿括号法

对于二次优化问题(QOP)的Lagrangian-DNN松弛,我们提出了一种牛顿括号法,以改善BBCPOP [ACM Tran。Softw。,45(3):34(2019)]。松弛问题转化为找到最大零的问题ÿ 的连续可微数(除 ÿ)凸函数 G[R[R 这样 Gÿ=0 如果 ÿÿGÿ>0除此以外。从理论上讲,该方法生成ÿ 都收敛到 ÿ。如果g的右导数在ÿ是积极的。精确计算Gÿ该方法的鲁棒性是必需的,但是在实践中很难实现。作为替代方案,我们提出了一种割线包围方法。我们证明了该方法提高了BBCPOP和SDPNAL +对于BIQMAC二进制QOP实例获得的下限的质量。此外,报告了来自QAPLIB的大规模QAP实例的未知最优值的新下界。

更新日期:2020-07-01
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