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Persistent URL http://purl.org/net/epubs/work/29550
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Record Id 29550
Title An iterative working-set method for large-scale non-convex quadratic programming
Abstract We consider a working-set method for solving large-scale non-convex quadratic programming problems for which there is no requirement that the objective function be convex. The methods are iterative at two levels, one level relating to the selection of the current working set, and the second due to the method used to solve the equality-constrained problem for this working set. A pre-conditioned conjugate gradient method is used for this inner iteration, with the preconditioner chosen especially to ensure feasibility requirement persists. The well-known equivalence between the conjugate-gradient and Lanczos methods is exploited when finding directions of negative curvature. Details of an implementation - the Fortran 90 package QPA in the forthcoming GALAHAD library - are given
Organisation CCLRC
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Language English (EN)
Type Details URI(s) Local file(s) Year
Report RAL Technical Reports RAL-TR-2001-026. 2001. RAL-TR-2001-026.pdf 2001