Large-Scale Quadratically Constrained Quadratic Program via Low-Discrepancy Sequences
نویسندگان
چکیده
The accuracy of the solution to P(XN ) is dependent on the choice of the points XN . Choosing random points can lead to arbitrary bad solutions. To get an accurate solution we resort to optimally mapping a low-discrepancy sequence to the ellipsoidal constraint, which has good equidistribution property. We use a (t,m, s)-net as a starting point on the unit hypercube which is then mapped to the surface of the ellipsoid via a measure preserving map.
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