Maximum Block Improvement and Polynomial Optimization

Abstract

Abstract. In this paper we propose an efficient method for solving the spherically constrained homogeneous polynomial optimization problem. The new approach has the following three main ingredients. First, we establish a block coordinate descent type search method for nonlinear opti-mization, with the novelty being that we only accept a block update that achieves the maximum improvement, hence the name of our new search method: Maximum Block Improvement (MBI). Convergence of the sequence produced by the MBI method to a stationary point is proven. Second, we establish that maximizing a homogeneous polynomial over a sphere is equivalent to its tensor relaxation problem, thus we can maximize a homogeneous polynomial function over a sphere by its tensor relaxation via the MBI approach. Third, we propose a scheme to reach a KKT point of the polynomial optimization, provided that a stationary solution for the relaxed tensor problem is avail-able. Numerical experiments have shown that our new method works very efficiently: for a majority of the test instances that we have experimented with, the method finds the global optimal solution at a low computational cost.

The authors' abstract, as published at the source. SIAM Journal on Optimization, 2012 · DOI ↗