A Generalization of the Classical αBB Convex Underestimation via Diagonal and Nondiagonal Quadratic Terms

A. Skjäl, T. Westerlund, R. Misener and C. A. Floudas ()
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A. Skjäl: Åbo Akademi University
T. Westerlund: Åbo Akademi University
R. Misener: Princeton University
C. A. Floudas: Princeton University

Journal of Optimization Theory and Applications, 2012, vol. 154, issue 2, No 7, 462-490

Abstract: Abstract The classical αBB method determines univariate quadratic perturbations that convexify twice continuously differentiable functions. This paper generalizes αBB to additionally consider nondiagonal elements in the perturbation Hessian matrix. These correspond to bilinear terms in the underestimators, where previously all nonlinear terms were separable quadratic terms. An interval extension of Gerschgorin’s circle theorem guarantees convexity of the underestimator. It is shown that underestimation parameters which are optimal, in the sense that the maximal underestimation error is minimized, can be obtained by solving a linear optimization model. Theoretical results are presented regarding the instantiation of the nondiagonal underestimator that minimizes the maximum error. Two special cases are analyzed to convey an intuitive understanding of that optimally-selected convexifier. Illustrative examples that convey the practical advantage of these new αBB underestimators are presented.

Keywords: Global optimization; αBB; Convex relaxations; Nonconvex optimization (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (6)

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DOI: 10.1007/s10957-012-0033-6

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