Global Optimality Conditions in Maximizing a Convex Quadratic Function under Convex
Quadratic Constraints, Jean‐Baptiste Hiriart‐Urruty
Abstract
Quadratic Constraints, Jean‐Baptiste Hiriart‐Urruty
Abstract
For the problem of maximizing a convex quadratic function under convex quadratic constraints, we derive conditions characterizing a globally optimal solution. The method consists in exploiting the global optimality conditions, expressed in terms of e-subdifferentials of convex functions and e-normal directions, to convex sets. By specializing the problem of maximizing a convex function over a convex set, we find explicit conditions for optimality.
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For the problem of maximizing a convex quadratic function under convex quadratic constraints, we derive conditions characterizing a globally optimal solution. The method consists in exploiting the global optimality conditions, expressed in terms of e-subdifferentials of convex functions and e-normal directions, to convex sets. By specializing the problem of maximizing a convex function over a convex set, we find explicit conditions for optimality.
Key concepts: Subderivative, Proper convex function, Mathematics, Convex analysis, Convex set, Conic optimization, Convex combination, Regular polygon