A canonical dual approach for solving linearly constrained quadratic programs
AbstractThis paper provides a canonical dual approach for minimizing a general quadratic function over a set of linear constraints. We first perturb the feasible domain by a quadratic constraint, and then solve a “restricted” canonical dual program of the perturbed problem at each iteration to generate a sequence of feasible solutions of the original problem. The generated sequence is proven to be convergent to a Karush–Kuhn–Tucker point with a strictly decreasing objective value. Some numerical results are provided to illustrate the proposed approach.
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Bibliographic InfoArticle provided by Elsevier in its journal European Journal of Operational Research.
Volume (Year): 218 (2012)
Issue (Month): 1 ()
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Web page: http://www.elsevier.com/locate/eor
Quadratic programming; Global optimization; Canonical duality theory;
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