2002-05-31Buch DOI: 10.18452/2620
Lagrangian Decomposition of Mixed-Integer All-Quadratic Programs
Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
The purpose of this paper is threefold. First we show that the Lagrangian dual of a block-separable mixed-integer all-quadratic program (MIQQP) can be formulated as an eigenvalue optimization problem keeping the block-separable structure. Second we propose splitting schemes for reformulating non-separable problems as block-separable problems. Finally we report numerical results on solving the eigenvalue optimization problem by a proximal bundle algorithm applying Lagrangian decomposition. The results indicate that appropriate block-separable reformulations of MIQQPs could accelerate the running time of dual solution algorithms considerably.
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