A METHOD OF SOLUTION FOR QUADRATIC PROGRAMS
Abstract
A method is described for minimizing a strictly convex quadratic functional of several variables constrained by a system of linear inequalities. The method takes advantage of strict convexity by first computing the absolute minimum of the functional. In the event that the values of the variables yielding the absolute minimum do not satisfy the constraints, an equivalent and simplified quadratic problem in the Lagrange multipliers is derived. An efficient algorithm is devised for the transformed problem, which leads to the solution in a finite number of applications. A numerical example illustrates the method. (Author)
Document Details
- Document Type
- Technical Report
- Publication Date
- Jul 01, 1961
- Accession Number
- AD0262082
Entities
People
- C.e. Lemke
Organizations
- Rensselaer Polytechnic Institute