A Method for Solving Certain Quadratic Programming Problems Arising in Nonsmooth Optimization
- 1 April 1986
- journal article
- research article
- Published by Oxford University Press (OUP) in IMA Journal of Numerical Analysis
- Vol. 6 (2) , 137-152
- https://doi.org/10.1093/imanum/6.2.137
Abstract
We present a finite algorithm for minimizing a piecewise linear convex function augmented with a simple quadratic term. To solve the dual problem, which is of least-squares form with an additional linear term, we include in a standard active-set quadratic programming algorithm a new column-exchange strategy for treating positive semidefinite problems. Numerical results are given for an implementation using the Cholesky factorization.This publication has 1 reference indexed in Scilit:
- A General Quadratic Programming AlgorithmIMA Journal of Applied Mathematics, 1971