A Global Optimization Algorithm for Solving Linearly Constrained Quadratic Fractional Problems

This paper first proposes a new and enhanced second order cone programming relaxation using the simultaneous matrix diagonalization technique for the linearly constrained quadratic fractional programming problem. The problem has wide applications in statics, economics and signal processing. Thus, fast and effective algorithm is required. The enhanced second order cone programming relaxation improves the relaxation effect and computational efficiency compared to the classical second order cone programming relaxation. Moreover, although the bound quality of the enhanced second order cone programming relaxation is worse than that of the copositive relaxation, the computational efficiency is significantly enhanced. Then we present a global algorithm based on the branch and bound framework. Extensive numerical experiments show that the enhanced second order cone programming relaxation-based branch and bound algorithm globally solves the problem in less computing time than the copositive relaxation approach.

Asymptotic Analysis for a Stochastic Second-Order Cone Programming and Applications

Stochastic second-order cone programming (SSOCP) is an extension of deterministic second-order cone programming, which demonstrates underlying uncertainties in practical problems arising in economics engineering and operations management. In this paper, asymptotic analysis of sample average approximation estimator for SSOCP is established. Conditions ensuring the asymptotic normality of sample average approximation estimators for SSOCP are obtained and the corresponding covariance matrix is described in a closed form. Based on the analysis, the method to estimate the confidence region of a stationary point of SSOCP is provided and three examples are illustrated to show the applications of the method.

A new projection neural network for linear and convex quadratic second-order cone programming

A new projection neural network approach is presented for the linear and convex quadratic second-order cone programming. In the method, the optimal conditions of the linear and convex second-order cone programming are equivalent to the cone projection equations. A Lyapunov function is given based on the G-norm distance function. Based on the cone projection function, the descent direction of Lyapunov function is used to design the new projection neural network. For the proposed neural network, we give the Lyapunov stability analysis and prove the global convergence. Finally, some numerical examples and two kinds of grasping force optimization problems are used to test the efficiency of the proposed neural network. The simulation results show that the proposed neural network is efficient for solving some linear and convex quadratic second-order cone programming problems. Especially, the proposed neural network can overcome the oscillating trajectory of the exist projection neural network for some linear second-order cone programming examples and the min-max grasping force optimization problem.