ISSN:
1572-9338
Keywords:
Quadratic programming
;
active set algorithms
;
parametric Hessian matrix
Source:
Springer Online Journal Archives 1860-2000
Topics:
Mathematics
,
Economics
Notes:
Abstract We present a general active set algorithm for the solution of a convex quadratic programming problem having a parametrized Hessian matrix. The parametric Hessian matrix is a positive semidefinite Hessian matrix plus a real parameter multiplying a symmetric matrix of rank one or two. The algorithm solves the problem for all parameter values in the open interval upon which the parametric Hessian is positive semidefinite. The algorithm is general in that any of several existing quadratic programming algorithms can be extended in a straightforward manner for the solution of the parametric Hessian problem.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/BF02022081
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