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A decomposition procedure for convex quadratic programs
Author(s) -
Shetty C. M.,
Daya Mohammed Ben
Publication year - 1988
Publication title -
naval research logistics (nrl)
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.665
H-Index - 68
eISSN - 1520-6750
pISSN - 0894-069X
DOI - 10.1002/1520-6750(198802)35:1<111::aid-nav3220350110>3.0.co;2-#
Subject(s) - mathematical optimization , quadratic equation , quadratic programming , regular polygon , decomposition , convex optimization , constraint (computer aided design) , quadratically constrained quadratic program , mathematics , decomposition method (queueing theory) , computer science , discrete mathematics , ecology , geometry , biology
This article deals with the solution of convex quadratic programs by iteratively solving a master problem and a subproblem as proposed previously by Sacher. The approach has the advantage that the subproblems are linear programs so that advantage can be taken of existing schemes for solving large linear problems. At each step in solving the master problem, a closed‐form solution can be specified so that the procedure is well suited for solving large quadratic programs and can take advantage of the constraint structure.