An interior point method for general large-scale quadratic programming problems
Autor: | Pault T. Boggs, Paul D. Domich, Janet E. Rogers |
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Rok vydání: | 1996 |
Předmět: |
Mathematical optimization
Quadratic equation Linear programming Basis (linear algebra) Theory of computation MathematicsofComputing_NUMERICALANALYSIS General Decision Sciences Quadratic programming Management Science and Operations Research Solver Interior point method Sequential quadratic programming Mathematics |
Zdroj: | Annals of Operations Research. 62:419-437 |
ISSN: | 1572-9338 0254-5330 |
DOI: | 10.1007/bf02206825 |
Popis: | In this paper, we present an interior point algorithm for solving both convex and nonconvex quadratic programs. The method, which is an extension of our interior point work on linear programming problems efficiently solves a wide class of largescale problems and forms the basis for a sequential quadratic programming (SQP) solver for general large scale nonlinear programs. The key to the algorithm is a three-dimensional cost improvement subproblem, which is solved at every interation. We have developed an approximate recentering procedure and a novel, adaptive big-M Phase I procedure that are essential to the sucess of the algorithm. We describe the basic method along with the recentering and big-M Phase I procedures. Details of the implementation and computational results are also presented. |
Databáze: | OpenAIRE |
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