A canonical dual approach for solving linearly constrained quadratic programs |
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Authors: | Wenxun Xing Shu-Cherng Fang |
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Institution: | a Department of Mathematical Sciences, Tsinghua University, Beijing 100084, China b Department of Industrial and Systems Engineering, North Carolina State University, USA c Department of Mathematics, National Cheng Kung University, Tainan, Taiwan |
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Abstract: | This 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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Keywords: | Quadratic programming Global optimization Canonical duality theory |
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