An efficient global optimization algorithm for maximizing the sum of two generalized Rayleigh quotients
Journal Article
·
· Computational and Applied Mathematics
- Beihang University, School of Astronautics (China)
- Beihang University, LMIB of the Ministry of Education, School of Mathematics and System Sciences (China)
Maximizing the sum of two generalized Rayleigh quotients (SRQ) can be reformulated as a one-dimensional optimization problem, where the function value evaluations are reduced to solving semi-definite programming (SDP) subproblems. In this paper, we first use the dual SDP subproblem to construct an explicit overestimation and then propose a branch-and-bound algorithm to globally solve (SRQ). Numerical results demonstrate that it is even more efficient than the recent SDP-based heuristic algorithm.
- OSTI ID:
- 22769238
- Journal Information:
- Computational and Applied Mathematics, Journal Name: Computational and Applied Mathematics Journal Issue: 4 Vol. 37; ISSN 0101-8205
- Country of Publication:
- United States
- Language:
- English
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