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On SOCP/SDP formulation of the extended trust region subproblem

Published 20 Jul 2018 in math.OC | (1807.07815v1)

Abstract: In this paper, we consider the extended trust region subproblem (\eTRS) which is the minimization of an indefinite quadratic function subject to the intersection of unit ball with a single linear inequality constraint. Using a variation of S-Lemma, we derive the necessary and sufficient optimality conditions for \eTRS. Then an SOCP/SDP formulation is introduced for the problem. Finally, several illustrative examples are provided.

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