Non-convex quadratic programming with box constraints is a fundamental problem in the global optimization literature, being one of the simplest NP-hard nonlinear programs. We present a new heuristic for this problem, which enables one to obtain solutions of excellent quality in reasonable computing times. The heuristic consists of four phases: binarisation, convexification, branch-and-bound, and local optimisation. Some very encouraging computational results are given.
Citation
Appeared as: L. Galli & A.N. Letchford (2018) A binarisation heuristic for non-convex quadratic programming with box constraints. Oper. Res. Lett., 46(5), 529-533.