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A Binarisation Heuristic for Non-Convex Quadratic Programming with Box Constraints

Laura Galli (laura.galli***at***unipi.it)
Adam N Letchford (A.N.Letchford***at***lancaster.ac.uk)

Abstract: Non-convex quadratic programming with box constraints is a fundamental problem in the global optimization literature, being one of the simplest NP-hard nonlinear programs. We present a new heuristic for this problem, which enables one to obtain solutions of excellent quality in reasonable computing times. The heuristic consists of four phases: binarisation, convexification, branch-and-bound, and local optimisation. Some very encouraging computational results are given.

Keywords: global optimization; heuristics; integer programming

Category 1: Global Optimization

Category 2: Integer Programming ((Mixed) Integer Nonlinear Programming )

Category 3: Nonlinear Optimization (Quadratic Programming )

Citation: To appear in Operations Research Letters.

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Entry Submitted: 05/20/2015
Entry Accepted: 05/20/2015
Entry Last Modified: 08/25/2018

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