A Single-phase Method for Quadratic Programming

A Single-phase Method for Quadratic Programming
Author: Stanford University. Systems Optimization Laboratory
Publisher:
Total Pages: 80
Release: 1986
Genre:
ISBN:

This report describes a single-phase quadratic programming method, an active-set method which solves a sequence of equality-constraint quadratic programs.

Integral Methods for Quadratic Programming

Integral Methods for Quadratic Programming
Author: Yves Dominique Brise
Publisher: Logos Verlag Berlin GmbH
Total Pages: 232
Release: 2013
Genre: Computers
ISBN: 3832533664

This PhD thesis was written at ETH Zurich, in Prof. Dr. Emo Welzl's research group, under the supervision of Dr. Bernd Garnter. It shows two theoretical results that are both related to quadratic programming. The first one concerns the abstract optimization framework of violator spaces and the randomized procedure called Clarkson's algorithm. In a nutshell, the algorithm randomly samples from a set of constraints, computes an optimal solution subject to these constraints, and then checks whether the ignored constraints violate the solution. If not, some form of re-sampling occurs. We present the algorithm in the easiest version that can still be analyzed successfully. The second contribution concerns quadratic programming more directly. It is well-known that a simplex-like procedure can be applied to quadratic programming. The main computational effort in this algorithm comes from solving a series of linear equation systems that change gradually. We develop the integral LU decomposition of matrices, which allows us to solve the equation systems efficiently and to exploit sparse inputs. Last but not least, a considerable portion of the work included in this thesis was devoted to implementing the integral LU decomposition in the framework of the existing quadratic programming solver in the Computational Geometry Algorithms Library (CGAL). In the last two chapters we describe our implementation and the experimental results we obtained.

Optimal Quadratic Programming Algorithms

Optimal Quadratic Programming Algorithms
Author: Zdenek Dostál
Publisher: Springer Science & Business Media
Total Pages: 293
Release: 2009-04-03
Genre: Mathematics
ISBN: 0387848061

Quadratic programming (QP) is one advanced mathematical technique that allows for the optimization of a quadratic function in several variables in the presence of linear constraints. This book presents recently developed algorithms for solving large QP problems and focuses on algorithms which are, in a sense optimal, i.e., they can solve important classes of problems at a cost proportional to the number of unknowns. For each algorithm presented, the book details its classical predecessor, describes its drawbacks, introduces modifications that improve its performance, and demonstrates these improvements through numerical experiments. This self-contained monograph can serve as an introductory text on quadratic programming for graduate students and researchers. Additionally, since the solution of many nonlinear problems can be reduced to the solution of a sequence of QP problems, it can also be used as a convenient introduction to nonlinear programming.

Inertia-controlling Methods for Quadratic Programming

Inertia-controlling Methods for Quadratic Programming
Author: Philip E. Gill
Publisher:
Total Pages: 48
Release: 1988
Genre: Quadratic programming
ISBN:

We also derive recurrance relations that facilitate the efficient implementation of a class of inertia-controlling methods that maintain the factorization of a nonsingular matrix associated with the Karush-Kuhn-Tucker conditions."

Active-set Methods for Quadratic Programming

Active-set Methods for Quadratic Programming
Author: Elizabeth Lai Sum Wong
Publisher:
Total Pages: 125
Release: 2011
Genre:
ISBN: 9781124691152

Computational methods are considered for finding a point satisfying the second-order necessary conditions for a general (possibly nonconvex) quadratic program (QP). A framework for the formulation and analysis of feasible-point active-set methods is proposed for a generic QP. This framework is defined by reformulating and extending an inertia-controlling method for general QP that was first proposed by Fletcher and subsequently modified by Gould. This reformulation defines a class of methods in which a primal-dual search pair is the solution of a "KKT system'' of equations associated with an equality-constrained QP subproblem defined in terms of a "working set'' of linearly independent constraints. It is shown that, under certain circumstances, the solution of this KKT system may be updated using a simple recurrence relation, thereby giving a significant reduction in the number of systems that need to be solved. The use of inertia control guarantees that the KKT systems remain nonsingular throughout, thereby allowing the utilization of third-party linear algebra software. The algorithm is suitable for indefinite problems, making it an ideal QP solver for stand-alone applications and for use within a sequential quadratic programming method using exact second derivatives. The proposed framework is applied to primal and dual quadratic problems, as well as to single-phase problems that combine the feasibility and optimality phases of the active-set method, producing a range of formats that are suitable for a variety of applications. The algorithm is implemented in the Fortran code icQP. Its performance is evaluated using different symmetric and unsymmetric linear solvers on a set of convex and nonconvex problems. Results are presented that compare the performance of icQP with the convex QP solver SQOPT on a large set of convex problems.