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On SOCP/SDP Formulation of the Extended Trust Region Subproblem
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Saeed Fallahi   , Maziar Salahi , Saeed Ansary Karbasy |
| University of Guilan , salahim@guilan.ac.ir |
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Abstract: (6795 Views) |
| We consider the extended trust region subproblem (eTRS) as the minimization of an indefinite quadratic function subject to the intersection of unit ball with a single linear inequality constraint. Using a variation of the S-Lemma, we derive the necessary and sufficient optimality conditions for eTRS. Then, an OCP/SDP formulation is introduced for the problem. Finally, several illustrative examples are provided. |
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| Keywords: Extended trust region subproblem, S-Lemma, Semidefinite program, Second order cone program. |
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Full-Text [PDF 194 kb]
(12617 Downloads)
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Type of Study: Original |
Subject:
Continuous Optimization
Received: 2019/12/5 | Accepted: 2019/12/5 | Published: 2019/12/5
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