Abstract
Two active set primal simplex algorithms for solving strictly convex quadratic programs are presented which, in their implementation, are closely related to the dual algorithm of Goldfarb and Idnani. Techniques are used for updating certain matrix factorizations that enable the algorithms to be both efficient and numerically stable in practice. One of the algorithms is based upon sufficient conditions for simultaneously dropping several constraints from the active set. It is shown how these conditions can be checked with little additional computational effort.
This research was supported in part by the Army Research Office under Contract No. DAAG29-83-K-0106 and in part by the National Science Foundation under Grant No. DCR-83-41408.
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© 1986 Springer-Verlag
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Goldfarb, D. (1986). Efficient primal algorithms for strictly convex quadratic programs. In: Hennart, JP. (eds) Numerical Analysis. Lecture Notes in Mathematics, vol 1230. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0072668
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DOI: https://doi.org/10.1007/BFb0072668
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