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In this paper, we propose an algorithm to globally solve the extended trust-region subproblem with two linear intersecting cuts. Based on the tightness of the linear cuts at optimal solution,… Click to show full abstract
In this paper, we propose an algorithm to globally solve the extended trust-region subproblem with two linear intersecting cuts. Based on the tightness of the linear cuts at optimal solution, we can resolve the original problem by solving either a traditional trust-region subproblem over a sphere or a semidefinite programming relaxation with second-order cone constraints. Two examples from literature and numerical experiment on randomly generated instances are used to demonstrate how the proposed algorithm works.
Keywords:
intersecting cuts;
extended trust;
globally solving;
trust;
trust region
Journal Title: Optimization Letters
Year Published: 2020
Link to full text (if available)
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Journal Title: Optimization Letters
Year Published: 2020
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!