Algorithm and separating method for the optimisation of quadratic functions (Q2224179)

Summary: This paper addresses the optimisation of quadratic functions on convex polyhedrons. We propose a method and an algorithm for optimising a strictly concave function. This algorithm uses a good initialisation by searching the nearest vertex of a convex set to an external point in order to surround the area where the optimal solution can be located. The optimal solution may be the nearest vertex found or a boundary point obtained by the projection of the critical point onto a separating hyperplane passing through the nearest vertex. This method and this algorithm can be adapted for the convex quadratic problem. In this case, the optimal solution is the farthest vertex from the critical point.