Article ID: | iaor20011556 |
Country: | Netherlands |
Volume: | 23 |
Issue: | 3/5 |
Start Page Number: | 163 |
End Page Number: | 169 |
Publication Date: | Oct 1998 |
Journal: | Operations Research Letters |
Authors: | Sniedovich M., Ralph D., Churilov L. |
In this paper we present a pivotal-based algorithm for the global minimization of composite concave quadratic functions subject to linear constraints. It is shown that certain subclasses of this family yield easy-to-solve line search subproblems. Since the proposed algorithm is equivalent in efficiency to a standard parametric complementary pivoting procedure, the implication is that conventional parametric quadratic programming algorithms can now be used as tools for the solution of a much wider class of complex global optimization problems.