Abstract
We present an optimal piecewise-linear approximation method for the objective function of separable convex quadratic programs. The method provides guidelines on how many grid points to use and how to position them for a piecewise-linear approximation if the error induced by the approximation is to be bounded a priori.
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Güder, F., Morris, J.G. Optimal objective function approximation for separable convex quadratic programming. Mathematical Programming 67, 133–142 (1994). https://doi.org/10.1007/BF01582218
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DOI: https://doi.org/10.1007/BF01582218