A dual-active-set algorithm for positive semi-definite quadratic programming

Title: A dual-active-set algorithm for positive semi-definite quadratic programming
Creator: Boland, N. L.
Relation: Mathematical Programming Vol. 78, Issue 1, p. 1-27
Publisher Link: http://dx.doi.org/10.1007/BF02614503
Publisher: Springer
Resource Type: journal article
Date: 1997
Description: Because of the many important applications of quadratic programming, fast and efficient methods for solving quadratic programming problems are valued. Gotdfarb and Idnani (1983) describe one such method. Well known to be efficient and numerically stable, the Goldfarb and Idnani method suffers only from the restriction that in its original form it cannot be applied to problems which are positive semi-definite rather than positive definite. In this paper, we present a generalization of the Goldfarb and Idnani method to the positive semi-definite case and prove finite termination of the generalized algorithm. In our generalization, we preserve the spirit of the Goldfarb and Idnani method, and extend their numerically stable implementation in a natural way.
Subject: quadratic programming; positive semi-definite; convex optimization; active-set method
Identifier: http://hdl.handle.net/1959.13/939581
Identifier: uon:12841
Identifier: ISSN:0025-5610
Language: eng
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