Lagrangian decomposition of block-separable mixed-integer all-quadratic programs

e-mail: [email protected] Abstract. The purpose of this paper is threefold. First we propose splitting schemes for reformulating non-separable problems as block-separable problems. Second we show that the Lagrangian dual of a block-separable mixed-integer all-quadratic program (MIQQP) can be formulated as an eigenvalue optimization problem keeping the block-separable structure. Finally we report numerical results on solving the eigenvalue optimization problem by a proximal bundle algorithm applying Lagrangian decomposition. The results indicate that appropriate block-separable reformulations of MIQQPs could accelerate the running time of dual solution algorithms considerably.