Abstract
In Chapter 23, we studied a generalization of the linear programming problem in which variables were constrained to take on integer values. In this chapter, we consider a generalization of a different kind. Namely, we shall study the class of problems that would be linear programs except that the objective function is permitted to include terms involving products of pairs of variables. Such terms are called quadratic terms, and the problems we shall study are called quadratic programming problems.
Preview
Unable to display preview. Download preview PDF.
References
Markowitz, H. (1959), Portfolio Selection: Efficient Diversification of Investments, Wiley, New York.
Bertsekas, D. (1995), Nonlinear Programming, Athena Scientific, Belmont MA.
Nash, S. & Sofer, A. (1996), Linear and Nonlinear Programming, McGraw-Hill, New York.
Monteiro, R. & Adler, I. (1989), ‘Interior path following primal-dual algorithms: Part i: Linear programming’, Mathematical Programming 44, 27–41.
Vanderbei, R. (1999), ‘LOQO: An interior point code for quadratic programming’, Optimization Methods and Software 12, 451–484.
Author information
Authors and Affiliations
Rights and permissions
Copyright information
© 2008 Robert J.Vanderbei
About this chapter
Cite this chapter
Vanderbei, R.J. (2008). Quadratic Programming. In: Linear Programming. International Series in Operations Research & Management Science, vol 114. Springer, Boston, MA. https://doi.org/10.1007/978-0-387-74388-2_24
Download citation
DOI: https://doi.org/10.1007/978-0-387-74388-2_24
Publisher Name: Springer, Boston, MA
Print ISBN: 978-0-387-74387-5
Online ISBN: 978-0-387-74388-2
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)