| Autor: |
Phan, Anh-Huy, Yamagishi, Masao, Mandic, Danilo, Cichocki, Andrzej |
| Rok vydání: |
2017 |
| Předmět: |
|
| Druh dokumentu: |
Working Paper |
| Popis: |
A novel algorithm to solve the quadratic programming problem over ellipsoids is proposed. This is achieved by splitting the problem into two optimisation sub-problems, quadratic programming over a sphere and orthogonal projection. Next, an augmented-Lagrangian algorithm is developed for this multiple constraint optimisation. Benefit from the fact that the QP over a single sphere can be solved in a closed form by solving a secular equation, we derive a tighter bound of the minimiser of the secular equation. We also propose to generate a new psd matrix with a low condition number from the matrices in the quadratic constraints. This correction method improves convergence of the proposed augmented-Lagrangian algorithm. Finally, applications of the quadratically constrained QP to bounded linear regression and tensor decompositions are presented. |
| Databáze: |
arXiv |
| Externí odkaz: |
|
