An interior point algorithm for convex quadratic programming with strict equilibrium constraints

An interior point algorithm for convex quadratic programming with strict equilibrium constraints

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Article ID: iaor20071487
Country: France
Volume: 39
Issue: 1
Start Page Number: 13
End Page Number: 33
Publication Date: Jan 2005
Journal: RAIRO Operations Research
Authors: ,
Keywords: interior point methods
Abstract:

We describe an interior point algorithm for convex quadratic problem with strict complementarity constraints. We show that under some assumptions the approach requires a total of O(√(n)L) number of iterations, where L is the input size of the problem. The algorithm generates a sequence of problems, each of which is approximately solved by Newton's method.

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