Solving the general quadratic programming problem in a finite number of steps

DOI10.1134/S1064562413040224MaRDI QIDQ382174zbMATH OpenFDO

Authors A. Tret'yakov, E. E. Tyrtyshnikov

Publication date 18 November 2013

Published in Doklady Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/S1064562413040224

zbMATH Keywords

active set strategyconvex quadratic programgradient methodinequality constrained quadratic programmingorthogonal projection

Mathematics Subject Classification ID

Quadratic programming (90C20)

Review text

An iterative method consisting of a finite number of steps is developed for the general inequality constrained convex quadratic programming problem. For that, the problem is replaced equivalently by an unconstrained minimization problem with a differentiable convex function. The method itself combines the gradient method with an Armijo type step-size rule for this function with the computation of orthogonal projections to solutions of systems of linear equations which are related to the Karush-Kuhn-Tucker conditions of the original problem and formed by working index sets which, after a finite number of iterations, coincide with the set of active indices in a solution of the original problem.

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