How to solve optimization problem with non-convex equality constraint and LMIs?

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Parikshit Pareek

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Mar 5, 2019, 10:18:19 PM3/5/19
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I have a problem which has a non-convex equality constraint. The constraints are quadratic/ bilinear in nature. Along with these, I have an LMI constraint as well. 
I tried solving them using BMIBNB but it gives an error of no suitable solver. It solves the non-convex problem and LMI individually but not together. 

Can I solve them together using YALMIP?
if yes then,
Which solver combination I should be using?

PS: I am aware of the limitations of a global solver. Yet I am looking for a feasible solution with a finite optimality gap.  

Johan Löfberg

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Mar 6, 2019, 1:58:01 AM3/6/19
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Johan Löfberg

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Mar 6, 2019, 2:00:28 AM3/6/19
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or if the LMI H>= 0 is of small dimension, introduce new matrix R (sufficient with triangular parameterization) and add constraint R*R' = H. That way you can remove the LMI, and hope that the quadratic equalities are sufficiently few and simple, and thus arrive at a nonconvex quadratic problem
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