BOXCQP : AN ALGORITHM FOR BOUND CONSTRAINED CONVEX QUADRATIC PROBLEMS
BOXCQP : AN ALGORITHM FOR BOUND CONSTRAINED CONVEX QUADRATIC PROBLEMS
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发表时间：
2004
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通讯作者：
C. Voglis;I. Lagaris
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作者：
C. Voglis;I. Lagaris
利用拉格朗日乘子法求解了一个具有正定Hessian约束和界约束的二次规划问题。该方法属于外点有效集技术的范畴。我们算法的迭代修改了原始空间中的最小化参数和对偶空间中的拉格朗日乘子。文中还给出了数值实验的比较结果。
A quadratic programming problem with positive definite Hessian and bound constraints is solved, using a Lagrange multiplier approach. The proposed method falls in the category of exterior point, active set techniques. An iteration of our algorithm modifies both the minimization parameters in the primal space and the Lagrange multipliers in the dual space. Comparative results of numerical experiments are also reported.