An algorithm for indefinite quadratic programming based on a partial Cholesky factorization

E. Casas; C. Pola

RAIRO - Operations Research - Recherche Opérationnelle (1993)

  • Volume: 27, Issue: 4, page 401-426
  • ISSN: 0399-0559

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Casas, E., and Pola, C.. "An algorithm for indefinite quadratic programming based on a partial Cholesky factorization." RAIRO - Operations Research - Recherche Opérationnelle 27.4 (1993): 401-426. <http://eudml.org/doc/105069>.

@article{Casas1993,
author = {Casas, E., Pola, C.},
journal = {RAIRO - Operations Research - Recherche Opérationnelle},
keywords = {partial Cholesky factorization; diagonal pivoting strategy; negative curvature directions; updating matrix factorizations},
language = {eng},
number = {4},
pages = {401-426},
publisher = {EDP-Sciences},
title = {An algorithm for indefinite quadratic programming based on a partial Cholesky factorization},
url = {http://eudml.org/doc/105069},
volume = {27},
year = {1993},
}

TY - JOUR
AU - Casas, E.
AU - Pola, C.
TI - An algorithm for indefinite quadratic programming based on a partial Cholesky factorization
JO - RAIRO - Operations Research - Recherche Opérationnelle
PY - 1993
PB - EDP-Sciences
VL - 27
IS - 4
SP - 401
EP - 426
LA - eng
KW - partial Cholesky factorization; diagonal pivoting strategy; negative curvature directions; updating matrix factorizations
UR - http://eudml.org/doc/105069
ER -

References

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  1. 1. J. R. BUNCH and L. KAUFMAN, A Computational Method for the Indefinite Quadratic Programming Problem, Linear Algebra andits App., 1980, 34, pp. 341-370. Zbl0473.65036MR591438
  2. 2. J. J. DONGARRA, C. B. MOLER, J. R. BUNCH and G. W. STEWART, LINPACK Users' Guide, SIAM, Philadelphia, 1979. Zbl0476.68025
  3. 3. R. FLETCHER, A General quadratic programming, J, Institute of Math. and its Appl., 1971, 7, pp. 76-91. Zbl0226.90036MR274032
  4. 4. R. FLETCHER, Practical Methods of Optimization, John Wiley and Sons, Chichester and New York, second edition, 1987. Zbl0474.65043MR955799
  5. 5. A. L. FORSGREN, P. E. GILL and W. MURRAY, On the identificaiton of local minimizers in inertia-controlling methods for quadratic programming. SIAM J. Matrix Anal. Appl., 1991, 12, pp.730-746. Zbl0737.65047MR1121706
  6. 6. P. E. GILL, G. H. GOLUB, W. MURRAY and M. A. SAUNDERS, Methods for modifying matrix factorizations, Mathematics of Camputation, 1974, 28, (126), pp. 505-535. Zbl0289.65021MR343558
  7. 7. P. E. GILL and W. MURRAY, Numerically stable methods for quadratic programing, Math. Programming, 1978, 14, pp. 349-372. Zbl0374.90054MR484411
  8. 8. P. E. GILL, W. MURRAY, M. A. SAUNDERS and M. H. WRIGHT, Inertia-controlling methods for quadratic programming, SIAM Review, 1991, 33, pp. 1-36 Zbl0734.90062MR1095241
  9. 9. P. E. GILL, W. MURRAY and M. H. WRIGHT, Pratical Optimization, Academic Press, London and NewYork, 1981. Zbl0503.90062MR634376
  10. 10. W. HOCK and K. SCHITTKOWSKI, Test Examples for Nonlinear Programming Codes, Lecture in Economics and Mathematical Systems, Springer-Verlag, Berlin, Heidelberg and NewYork, 1981. Zbl0658.90060MR611512
  11. 11. C. POLA, Algorithmos Numéricos para la resolución de problemas de optimización con restricciones, Ph. D. thesis, Dpto. Matemáticas, Estadística y Computación, Uniersidad de Cantabrian, Spain, 1992. 
  12. 12. J. H. WILKINSON, The Algebraic Eigenvalue Problem, Oxford University Press, Oxford, 1965. Zbl0626.65029MR184422

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