Random Projections for Quadratic Programs over a Euclidean Ball

International audienceRandom projections are used as dimensional reduction techniques in many situations. They project a set of points in a high dimensional space to a lower dimensional one while approximately preserving all pairwise Euclidean distances. Usually, random projections are applied to numerical data. In this paper, however, we present a successful application of random projections to quadratic programming problems subject to polyhedral and a Euclidean ball constraint. We derive approximate feasibility and optimality results for the lower dimensional problem. We then show the practical usefulness of this idea on many random instances , as well as on two portfolio optimization instances with over 25M nonzeros in the (quadratic) risk term