Stable reduced Hessian updates for indefinite quadratic programming

Stable reduced Hessian updates for indefinite quadratic programming

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Article ID: iaor20011056
Country: Germany
Volume: 87
Issue: 2
Start Page Number: 251
End Page Number: 264
Publication Date: Jan 2000
Journal: Mathematical Programming
Authors:
Abstract:

Stable techniques are considered for updating the reduced Hessian matrix that arises in a null-space active set method for quadratic programming when the Hessian matrix itself may be indefinite. A scheme for defining amd updating the null-space basis matrix is described which is adequately stable and allows advantage to be taken of sparsity in the constraint matrix. A new canonical form for the reduced Hessian matrix is proposed that can be updated in a numerically stable way. Some consequences for the choice of minor iteration search direction are described.

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