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Methods for Convex and General Quadratic Programming
by Philip E. Gill, Elizabeth Wong
Abstract:
Computational methods are considered for finding a point that satisfies the second-order necessary conditions for a general (possibly nonconvex) quadratic program (QP). The first part of the paper considers the formulation and analysis of an active-set method for a generic QP with both equality and inequality constraints. The method uses a search direction that is the solution of an equality-constrained subproblem involving a "working set" of linearly independent constraints. The method is a reformulation of a method for general QP first proposed by Fletcher, and modified subsequently by Gould. The reformulation facilitates a simpler analysis and has the benefit that the algorithm reduces to a variant of the simplex method when the QP is a linear program. The search direction is computed from a KKT system formed from the QP Hessian and the gradients of the working-set 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 KKT systems that need to be solved. The second part of the paper focuses on the solution of QP problems with constraints in so-called standard form. We describe how the constituent KKT systems are solved, and discuss how an initial basis is defined. Numerical results are presented for all quadratic programs in the CUTEr test collection.
UCSD-CCoM-14-03.pdf July 2014
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Randolph E. Bank
Philip E. Gill
Michael Holst
Administrative Contact:
[ Click to Send Email ]
by Philip E. Gill, Elizabeth Wong
Abstract:
Computational methods are considered for finding a point that satisfies the second-order necessary conditions for a general (possibly nonconvex) quadratic program (QP). The first part of the paper considers the formulation and analysis of an active-set method for a generic QP with both equality and inequality constraints. The method uses a search direction that is the solution of an equality-constrained subproblem involving a "working set" of linearly independent constraints. The method is a reformulation of a method for general QP first proposed by Fletcher, and modified subsequently by Gould. The reformulation facilitates a simpler analysis and has the benefit that the algorithm reduces to a variant of the simplex method when the QP is a linear program. The search direction is computed from a KKT system formed from the QP Hessian and the gradients of the working-set 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 KKT systems that need to be solved. The second part of the paper focuses on the solution of QP problems with constraints in so-called standard form. We describe how the constituent KKT systems are solved, and discuss how an initial basis is defined. Numerical results are presented for all quadratic programs in the CUTEr test collection.
UCSD-CCoM-14-03.pdf July 2014