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arXiv · 1706.00596

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

Xiaohui Wang·Longfei Wang·Yong Xia
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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.

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Xiaohui Wang, Longfei Wang, Yong Xia. 2017-06-02. An efficient global optimization algorithm for maximizing the sum of two generalized Rayleigh quotients. https://arxiv.org/abs/1706.00596

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