A Quadratic Programming Algorithm Which Uses Generalized Inverses.
AIR FORCE INST OF TECH WRIGHT-PATTERSON AFB OHIO SCHOOL OF ENGINEERING
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An algorithm for solving quadratic programming problems is described in this study. A quadratic programming problem here is defined as finding the maximum of a quadratic function of several variables where the variables are subject to linear equality and inequality constraints. The quadratic function is restricted to be strictly concave. The algorithm uses generalized inverses of matrices to sort through the constraints in order to find quickly the set of constraints that is binding in the final solution. The algorithm is then compared to other existing quadratic programming algorithms.
- Operations Research