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A new penalty function algorithm for convex quadratic programming

✍ Scribed by M. Ben-Daya; K.S. Al-Sultan

Publisher
Elsevier Science
Year
1997
Tongue
English
Weight
607 KB
Volume
101
Category
Article
ISSN
0377-2217

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✦ Synopsis

In this paper, we develop an exterior point algorithm for convex quadratic programming using a penalty function approach. Each iteration in the algorithm consists of a single Newton step followed by a reduction in the value of the penalty parameter.

The points generated by the algorithm follow an exterior path that we define. Convergence of the algorithm is established.

The proposed algorithm was motivated by the work of A1-Sultan and Murty on nearest point problems, a special quadratic program. A preliminary implementation of the algorithm produced encouraging results. In particular, the algorithm requires a small and almost constant number of iterations to solve the small to medium size problems tested. (~) 1997 Elsevier Science B.V.

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