Abstract
The problem is a type of “sum-of-ratios” fractional programming and is known to be NP-hard. Due to many local maxima, finding the global maximizer is in general difficult. The best attempt so far is a critical point approach based on a necessary optimality condition. The problem therefore has not been completely solved. Our novel idea is to replace the generalized Rayleigh quotient by a parameter \(\mu \) and generate a family of quadratic subproblems \((\hbox {P}_{\mu })'s\) subject to two quadratic constraints. Each \((\hbox {P}_{\mu })\), if the problem dimension \(n\ge 3\), can be solved in polynomial time by incorporating a version of S-lemma; a tight SDP relaxation; and a matrix rank-one decomposition procedure. Then, the difficulty of the problem is largely reduced to become a one-dimensional maximization problem over an interval of parameters \([\underline{\mu },\bar{\mu }]\). We propose a two-stage scheme incorporating the quadratic fit line search algorithm to find \(\mu ^*\) numerically. Computational experiments show that our method solves the problem correctly and efficiently.
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This research was supported by Ministry of Science and Technology of Taiwan under the Project MOST 103-2115-M-006-014-MY2; by National Natural Science Foundation of China under Grant 11471325, and by Beijing Higher Education Young Elite Teacher Project 29201442.
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Nguyen, VB., Sheu, RL. & Xia, Y. Maximizing the sum of a generalized Rayleigh quotient and another Rayleigh quotient on the unit sphere via semidefinite programming. J Glob Optim 64, 399–416 (2016). https://doi.org/10.1007/s10898-015-0315-2
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DOI: https://doi.org/10.1007/s10898-015-0315-2
Keywords
- Fractional programming
- (Generalized) Rayleigh quotient
- Quadratically constrained quadratic programming
- S-Lemma
- Semidefinite programming
- Quadratic fit line search