I have a QP with a quadratic constraint. The objective is non-PSD but the constraint is PSD.
But I am unable to solve the problem to the first order optimality with solution target set to 2. The optimizer still complains about non-PSD of the objective. I guess solution target = 2 only applies to QPs. Would that be correct? If not, is there a way to solve the above problem to first order optimality?
Pinned topic Solution Target = 2 with non PSD objective but with PSD constraint
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Updated on 2013-01-05T07:04:04Z at 2013-01-05T07:04:04Z by SystemAdmin
Christian Bliek 270002VD5A11 Posts
Re: Solution Target = 2 with non PSD objective but with PSD constraint2013-01-04T17:35:34ZThis is the accepted answer. This is the accepted answer.I'm afraid CPLEX will not be able to solve your problem.
CPLEX can find a local solution to non-convex QP, i.e. non-convex quadratic objective subject to linear constraints. To do this you set the solution target to 2.
However, your problem is a non-convex QCP, i.e. non-convex quadratic objective subject to quadratic constraints. This is something CPLEX cannot solve, even if your quadratic constraints are convex.
SystemAdmin 110000D4XK7929 Posts
Re: Solution Target = 2 with non PSD objective but with PSD constraint2013-01-05T07:04:04ZThis is the accepted answer. This is the accepted answer.
- Christian Bliek 270002VD5A
Just wanted to say that the solution target feature is very helpful for solving non-convex QPs which we encounter in less than 1% of cases.