Box Constrained Quadratic Programming with Proportioning and Projections
Let \(f(x)=\frac{1}{2} x^{T} A x - x^{T}b\) and \(\Omega =\{ x \in\mathbb{R}^{n}: l \leq x \leq u \}\), where \(l\), \(u\) and \(b\) are given column \(n-\)vectors and \(A\) -- an \(n \times n\) symmetric positive definite matrix. Suppose also that \(l<u\) and \(l_{i}=-\infty\) or \(u_{i} = \infty\) are admissible. The author defines a new class of iterative algorithms to solve the problem to find \(\min f(x)\) for \(x \in \Omega\). Its solution \(\bar{x}\) exists, is unique and is fully determined by the Kuhn-Tucker conditions. The proposed approach is based on a decomposition of these conditions. For a vector \(x\), the gradient \(\nabla f(x)\) may be decomposed into 2 components: \(\beta (x)\) and \(\varphi (x)\), where \(\varphi_{i}(x)=0\) when \(x_{i}=l_{i}\) or \(x_{i}=u_{i}\) and \(\beta_{i}(x)=0\) when \(l_{i}<x_{i}<u_{i}\). Let \(\Gamma\) be an arbitrary nonnegative number. The vector \(x\) is called proportional with \(\Gamma\) iff \(\| \beta (x) \| _{\infty} \leq \Gamma \| \varphi (x)\| _{2}\) and disproportional otherwise. The proposed class of methods involves the constant \(\Gamma\) (named release coefficient) as the criterion of the proportioning step; namely, if an approximate solution \(x^{(k)}\) obtained during \(k-\)th iteration step is disproportional with respect to \(\Gamma\), it is moved -- using so-called progressive direction -- to obtain proportional one. The author proves that the proposed algorithms may be considered ``finite for large \(\Gamma\) and ``iterative for small \(\Gamma\). The convergence of the iteration process is also discussed. The new class of algorithms is compared with known gradient projections type methods and seems to be their attractive alternative, because it does not require expensive computations. The author presents an implementation of conjugate gradients algorithm with proportioning and also some results of numerical experiments.
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