DUALITY AND SENSITIVITY IN NONCONVEX QUADRATIC OPTIMIZATION OVER AN ELLIPSOID

In this paper a duality framework is discussed for the problem of opti mizing a nonconvex quadratic function over an ellipsoid. Additional in sight is obtained from the observation that this nonconvex problem is in a sense equivalent to a convex problem of the same type, from which known necessary and sufficient conditions for optimality readily foll ow. Based on the duality results, some existing solution procedures ar e interpreted as in fact solving the dual. The duality relations are a lso shown to provide a natural framework for sensitivity analysis.