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: | Fletcher R. |
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.