An algorithm for a singly constrained class of quadratic programs subject to upper and lower bounds

An algorithm for a singly constrained class of quadratic programs subject to upper and lower bounds

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Article ID: iaor1991710
Country: Netherlands
Volume: 46
Issue: 3
Start Page Number: 321
End Page Number: 328
Publication Date: Apr 1990
Journal: Mathematical Programming (Series A)
Authors: ,
Keywords: programming: quadratic
Abstract:

This paper gives an O(n) algorithm for a singly constrained convex quadratic program using binary search to solve the Kuhn-Tucker system. Computational results indicate that a randomized version of this algorithm runs in expected linear time and is suitable for practical applications. For the nonconvex case an •-approximate algorithm is proposed which is based on convex and piecewise linear approximations of the objective function.

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