An efficient global optimization algorithm for maximizing the sum of two generalized Rayleigh quotients
Optimization and Control
2018-01-08 v2
Abstract
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.
Cite
@article{arxiv.1706.00596,
title = {An efficient global optimization algorithm for maximizing the sum of two generalized Rayleigh quotients},
author = {Xiaohui Wang and Longfei Wang and Yong Xia},
journal= {arXiv preprint arXiv:1706.00596},
year = {2018}
}
Comments
12pages