A Reformulation-Linearization-Convexification Algorithm for Optimal Correction of an Inconsistent System of Linear Constraints

P. Amaral, J. Júdice and H. Sherali

Abstract

In this paper, an algorithm is introduced to find an optimal solution for an optimization problem that arises in total least squares with inequality constraints, and in the correction of infeasible linear systems of inequalities. The stated problem is a nonconvex program with a special structure that allows the use of a reformulation-linearization-convexification technique for its solution. A branch-and-bound method for finding a global optimum for this problem is introduced based on this technique. Some computational experiments are included to highlight the efficacy of the proposed methodology.