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A Boosted-DCA with Power-Sum-DC Decomposition for Linearly Constrained Polynomial Programs

Author

Listed:
  • Hu Zhang

    (Shanghai Jiao Tong University)

  • Yi-Shuai Niu

    (Beijing Institute of Mathematical Sciences and Applications)

Abstract

This paper proposes a novel Difference-of-Convex (DC) decomposition for polynomials using a power-sum representation, achieved by solving a sparse linear system. We introduce the Boosted DCA with Exact Line Search ( $$\hbox {BDCA}_\text {e}$$ BDCA e ) for addressing linearly constrained polynomial programs within the DC framework. Notably, we demonstrate that the exact line search equates to determining the roots of a univariate polynomial in an interval, with coefficients being computed explicitly based on the power-sum DC decompositions. The subsequential convergence of $$\hbox {BDCA}_\text {e}$$ BDCA e to critical points is proven, and its convergence rate under the Kurdyka–Łojasiewicz property is established. To efficiently tackle the convex subproblems, we integrate the Fast Dual Proximal Gradient method by exploiting the separable block structure of the power-sum DC decompositions. We validate our approach through numerical experiments on the Mean–Variance–Skewness–Kurtosis portfolio optimization model and box-constrained polynomial optimization problems. Comparative analysis of $$\hbox {BDCA}_\text {e}$$ BDCA e against DCA, BDCA with Armijo line search, UDCA, and UBDCA with projective DC decomposition, alongside standard nonlinear optimization solvers FMINCON and FILTERSD, substantiates the efficiency of our proposed approach.

Suggested Citation

  • Hu Zhang & Yi-Shuai Niu, 2024. "A Boosted-DCA with Power-Sum-DC Decomposition for Linearly Constrained Polynomial Programs," Journal of Optimization Theory and Applications, Springer, vol. 201(2), pages 720-759, May.
  • Handle: RePEc:spr:joptap:v:201:y:2024:i:2:d:10.1007_s10957-024-02414-5
    DOI: 10.1007/s10957-024-02414-5
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    References listed on IDEAS

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    1. Hoai Le Thi & Mahdi Moeini & Tao Pham Dinh & Joaquim Judice, 2012. "A DC programming approach for solving the symmetric Eigenvalue Complementarity Problem," Computational Optimization and Applications, Springer, vol. 51(3), pages 1097-1117, April.
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