"Finding and exploiting quadratic underestimators for optimal value functions of nonconvex all-quadratic problems via copositive optimization"Gabl, MarkusModeling parts of an optimization problem as an optimal value function that depends on a top-level decision variable is a regular occurrence in optimization and an essential ingredient for methods such as Benders Decomposition. If the problem is convex, duality theory can be used to build piecewise affine models of the optimal value function over which the top-level problem can be optimized efficiently. In this talk, we are interested in the optimal value function of an quadratically constrained quadratic problem problem (QCQP) which is not necessarily convex, so that duality theory can not be applied without introducing a generally unquantifiable relaxation error. This issue can be bypassed by employing copositive reformulations of the underlying QCQP. We investigate two ways to parametrize these by the top-level variable. The first one leads to a copositive characterization of an underestimator that is sandwiched between the convex envelope of the optimal value function and that envelope's lower-semicontinuous hull. The dual of that characterization allows us to derive affine underestimators. The second parametrization yields an alternative characterization of the optimal value function itself, which other than the original version has an exact dual counterpart. From the latter, we can derive any convex and nonconvex quadratic underestimators of the optimal value function. These can be exploited in a Benders decomposition fashion. |
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