Strong Duality for the CDT Subproblem: A Necessary and Sufficient Condition

• Published in: SIAM journal on optimization Vol. 19; no. 4; pp. 1735 - 1756
• Main Authors: Ai, Wenbao, Zhang, Shuzhong
• Format: Journal Article
• Language: English
• Published: Philadelphia Society for Industrial and Applied Mathematics 01.01.2009
• Subjects: Decomposition; Eigenvalues; Optimization
• ISSN: 1052-6234; 1095-7189
• DOI: 10.1137/07070601X

In this paper, we consider the problem of minimizing a nonconvex quadratic function, subject to two quadratic inequality constraints. As an application, such a quadratic program plays an important role in the trust region method for nonlinear optimization; such a problem is known as the Celis, Dennis, and Tapia (CDT) subproblem in the literature. The Lagrangian dual of the CDT subproblem is a semidefinite program (SDP), hence convex and solvable. However, a positive duality gap may exist between the CDT subproblem and its Lagrangian dual because the CDT subproblem itself is nonconvex. In this paper, we present a necessary and sufficient condition to characterize when the CDT subproblem and its Lagrangian dual admits no duality gap (i.e., the strong duality holds). This necessary and sufficient condition is easy verifiable and involves only one (any) optimal solution of the SDP relaxation for the CDT subproblem. Moreover, the condition reveals that it is actually rare to render a positive duality gap for the CDT subproblems in general. Moreover, if the strong duality holds, then an optimal solution for the CDT problem can be retrieved from an optimal solution of the SDP relaxation, by means of a matrix rank-one decomposition procedure. The same analysis is extended to the framework where the necessary and sufficient condition is presented in terms of the Lagrangian multipliers at a KKT point. Furthermore, we show that the condition is numerically easy to work with approximatively.