A note on solving quadratic programs using mixed-integer programming

A note on solving quadratic programs using mixed-integer programming

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Article ID: iaor19881252
Country: United Kingdom
Volume: 16
Start Page Number: 393
End Page Number: 395
Publication Date: May 1989
Journal: Computers and Operations Research
Authors: ,
Keywords: programming: integer
Abstract:

It is well-known that quadratic programs can be solved with linear programming-based algorithms utilizing Kuhn-Tucker optimality conditions. However, due to certain linear complementary conditions, these algorithms require a specialized simplex code with modified rules for basis entry. In this paper the authors show that these linear complementary conditions can be enforced via a mixed-integer formulation of the quadratic programming problem. The formulation may be solved using any general purpose mixed-integer programming code.

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