Globally solving quadratic programs with convex objective and complementarity constraints via completely positive programming

Zhi-Bin Deng; Ye Tian; Cheng Lu; Wen-Xun Xing

doi:10.3934/jimo.2017064

Article Contents

2018, Volume 14, Issue 2: 625-636. Doi: 10.3934/jimo.2017064

This issue Previous Article D.C. programming approach for solving an applied ore-processing problem Next Article Solving normalized stationary points of a class of equilibrium problem with equilibrium constraints

Globally solving quadratic programs with convex objective and complementarity constraints via completely positive programming

1.
School of Economics and Management, University of Chinese Academy of Sciences, Key Laboratory of Big Data Mining and Knowledge Management, Chinese Academy of Sciences, Beijing 100190, China
2.
School of Business Administration, Southwestern University of Finance and Economics, Chengdu 611130, China
3.
School of Economics and Management, North China Electric Power University, Beijing 102206, China
4.
Department of Mathematical Sciences, Tsinghua University, Beijing 100084, China

* Corresponding author: Cheng Lu
* Corresponding author: Cheng Lu

Received: July 31, 2016

Revised: March 31, 2017

Early access: May 2017

Published: March 2018

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Abstract

Quadratic programs with complementarity constraints (QPCC) are NP-hard due to the nonconvexity of complementarity relation between the pairs of nonnegative variables. Most of the existing solvers are capable of solving QPCC by finding stationary solutions, which are not able to be verified as global or local optimal ones. In this paper, we aim to globally solve QPCC by a branch-and-bound algorithm, in which the doubly nonnegative (DNN) relaxation in each node is efficiently solved via an augmented Lagrangian method. The method is practically efficient due to the fact that the augmented Lagrangian function can be decomposed into two easy-to-solve subproblems. Computational results demonstrate the effectiveness of the proposed algorithm, with a particular highlight in only a few nodes for some instances.

Keywords:

Quadratic programs with complementarity constraints,
augmented Lagrangian method,
branch and bound,
doubly nonnegative relaxation,
semidefinite programming.

Mathematics Subject Classification: Primary: 90C33, 90C20, 90C22; Secondary: 49M37.

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Output: An approximate solution $Y$ and a valid lower bound $v$ of problem (DNP).
1. Set $(S, \sigma)=(S_0, \sigma_0)$ and $v=-\infty$. Initialize $Z=0$.
2: for $k=0, 1, ...$do
3: Solve problem (Y-Block) to get Y.
4: Solve problem (Z-Block to get Z.
5: Update S according to (5).
6: Update v by optimizing problem (Y-Block) with Z = 0 and σ = 0.
7: Update σ if necessary.
8: STOP, if termination criteria are met.
9: end for

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Algorithm 2 A Branch-and-Bound Algorithm for Globally Solving Problem (QPCC)
Input: Data (Q; q; A; b; E).
Output: A global solution of (QPCC).
1: Preprocessing Step: Calculate the upper bound for variable x.
2: Initialization Step: The list $\mathcal{L}$ to be explored is initialized to contain the root node. Upper bound is set to +1, and lower bound is set to −1.
3: while $\mathcal{L}$ is not empty do
4: Node Selection Step: Select and remove the best-first node from $\mathcal{L}$.
5: Bounding Step: Solve the relaxation problem of the node by Algorithm 1. Update upper and lower bound if possible. If the node is not fathomed, go to the next step.
6: Branching Step: Branch the node on the most violated complementarity constraint, generate two children nodes and add them to the list $\mathcal{L}$.
7: end while

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Table 1. Computational results of six QPCC instances on MacMPEC

Id	$(m, n, \|\mathcal{E}\|)$	nodes	time (sec.)
bilevel2	(29, 13, 12)	13	4.86
bilevel2m	(9, 21, 8)	5	1.74
flp4-1	(60,190, 80)	3	8.41
flp4-2	(110,270,110)	1	15.21
flp4-3	(170,380,140)	1	30.03
flp4-4	(250,550,200)	1	67.71

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Table 2. Computation results for randomly generated QPCC Instances

$(m, n, \|\mathcal{E}\|)$	Ave. nodes	Ave. CPU time (sec.)
(4, 12, 3)	3	1.21
(15, 45, 10)	5	9.43
(25, 55, 20)	26	65.21
(30,100, 40)	121	310.66

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Table 3. Computational results for binary quadratic programs from OR-Library

$m=50, ~n=100, ~\|\mathcal{E}\|=50$
Id	Optimal value	Nodes	{CPU time (sec.)
bqp50-1	$\le-2160$	3564	1800.00
bqp50-2	$-3702$	3063	1570.22
bqp50-3	$-4626$	69	19.53
bqp50-4	$-3544$	767	330.86
bqp50-5	$-4012$	531	226.87
bqp50-6	$-3693$	107	49.31
bqp50-7	$-4520$	605	247.22
bqp50-8	$-4216$	771	363.41
bqp50-9	$-3780$	3849	1692.21
bqp50-10	$\le-3507$	3626	1800.00

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