A fast algorithm for equality-constrained quadratic programming on the Alliant FX/8

A fast algorithm for equality-constrained quadratic programming on the Alliant FX/8

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Article ID: iaor1988771
Country: Switzerland
Volume: 14
Start Page Number: 225
End Page Number: 243
Publication Date: Feb 1988
Journal: Annals of Operations Research
Authors:
Abstract:

An efficient implementation of the null-space method for quadratic programming on the Alliant FX/8 computer is described. The most computationally significant operations in this method are the orthogonal factorization of the constraint matrix and corresponding similarity transformation f the Hessian, and the Cholesky factorization of the reduced Hessian matrix. It is shown how these can be implemented in such a way as to take full advantage of the Alliant’s parallel/vector capabilities and memory hierarchy. Timing results are given on a set of test problems for which the data can be easily accommodated in core memory.

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