An efficient global optimization algorithm for maximizing the sum of two generalized Rayleigh quotients

作者：Wang, Xiaohui; Wang, Longfei; Xia, Yong^*

来源：COMPUTATIONAL & APPLIED MATHEMATICS, 2018, 37(4): 4412-4422.

DOI：10.1007/s40314-018-0575-9

• Fractional programming
• Rayleigh quotient
• Semidefinite programming
• Branch and bound

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.

• 出版日期2018-9
• 单位北京航空航天大学