Mathematical Programming Computation

, Volume 5, Issue 2, pp 113–142 | Cite as

Trajectory-following methods for large-scale degenerate convex quadratic programming

  • Nicholas I. M. Gould
  • Dominique Orban
  • Daniel P. Robinson
Full Length Paper

Abstract

We consider a class of infeasible, path-following methods for convex quadratric programming. Our methods are designed to be effective for solving both nondegerate and degenerate problems, where degeneracy is understood to mean the failure of strict complementarity at a solution. Global convergence and a polynomial bound on the number of iterations required is given. An implementation, CQP, is available as part of GALAHAD. We illustrate the advantages of our approach on the CUTEr and Maros–Meszaros test sets.

Keywords

Convex quadratic programming Path-following methods   Degenerate problems Software 

Mathematics Subject Classification (2000)

65K05 90C20 90C25 90C51 

Supplementary material

12532_2012_50_MOESM1_ESM.pdf (163 kb)
Supplementary material 1 (pdf 163 KB)

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Copyright information

© Crown Copyright 2013

Authors and Affiliations

  • Nicholas I. M. Gould
    • 1
  • Dominique Orban
    • 2
  • Daniel P. Robinson
    • 3
  1. 1.Scientific Computing DepartmentRutherford Appleton LaboratoryOxfordshireUK
  2. 2.GERAD and Mathematics and Industrial Engineering DepartmentÉcole Polytechnique de MontréalMontrealCanada
  3. 3.Department of Applied Mathematics and StatisticsJohns Hopkins UniversityBaltimoreUSA

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