A new algorithm for quadratic programming |
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Affiliation: | 1. FKBV, University of Maribor, Maribor, Slovenia;2. Institute of Mathematics, Physics and Mechanics, Jadranska 19, Ljubljana, 1000, Slovenia;3. Furman University, Greenville, SC, USA;4. FEECS, University of Maribor, Maribor, Slovenia;5. Faculty of Information Studies, Novo Mesto, 8000, Slovenia |
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Abstract: | We present a new finite algorithm for quadratic programming. Our algorithm is based on the solution procedures of linear programming (pivoting, Bland's rule, Hungarian Methods, criss-cross method), however this method does not require the enlargement of the basic tableau as Frank-Wolfe method does. It can be considered as a feasible point active-set method. We solve linear equation systems in oder to reach an active constraint set (complementary solutions) and we solve a feasibility problem in order to check that optimality can be reached on this active set or to improve the actual solution. This algorithm is a straightforward generalization of Klafszky's and Terlaky's Hungarian Method. It has nearly the same structure as Ritter's algorithm (which is based on conjugate directions), but it does not use conjugate directions. |
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