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A new algorithm for quadratic programming

✍ Scribed by Tamás Terlaky

Publisher
Elsevier Science
Year
1987
Tongue
English
Weight
531 KB
Volume
32
Category
Article
ISSN
0377-2217

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✦ Synopsis

We present a new finite algorithm for quadratic programming. Our algorithm is based on the solution procedures of linear programming (pivoting, Bland's rule, Hungarian Methods, criss-cross method), however this method does not require the enlargement of the basic tableau as Frank-Wolfe method does. It can be considered as a feasible point active-set method. We solve linear equation systems in oder to reach an active constraint set (complementary solutions) and we solve a feasibility problem in order to check that optimality can be reached on this active set or to improve the actual solution.

This algorithm is a straightforward generalization of Klafszky's and Terlaky's Hungarian Method. It has nearly the same structure as Ritter's algorithm (which is based on conjugate directions), but it does not use conjugate directions.

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