|
A Dual-Feasible Active-Set Method for Quadratic Programming
Elizabeth Wong
Department of Mathematics
UC San Diego
Abstract
We present a dual-feasible active-set method for convex quadratic
programming. At each iteration of the algorithm, the dual variables are
kept feasible with respect to the optimality conditions of the problem while
allowing infeasibility in the primal variables. In addition, the method
uses the Schur-complement method to solve KKT systems, allowing flexibility
in the implementation of the linear algebra aspects of the method.
|











