Global and Robust Optimisation for Non-Convex Quadratic Programs

Abstract: This paper presents a novel algorithm integrating global and robust optimisation methods to solve continuous non-convex quadratic problems under convex uncertainty sets. The proposed Robust spatial branch-and-bound (RsBB) algorithm combines the principles of spatial branch-and-bound (sBB) with robust cutting planes. We apply the RsBB algorithm to quadratically constrained quadratic programming (QCQP) pooling problems, utilising McCormick envelopes to obtain convex lower bounds. The performance of the RsBB algorithm is compared with state-of-the-art methods that rely on global solvers. As computational test bed for our proposed approach we focus on pooling problems under different types and sizes of uncertainty sets. The findings of our work highlight the efficiency of the RsBB algorithm in terms of computational time and optimality convergence and provide insights to the advantages of combining robustness and optimality search.