Resolving degeneracy in quadratic programming |
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Authors: | Fletcher R. |
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Affiliation: | (1) Department of Mathematics and Computer Science, University of Dundee, DD1 4HN Dundee, Scotland, UK |
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Abstract: | A technique for the resolution of degeneracy in an Active Set Method for Quadratic Programming is described. The approach generalises Fletcher's method [2] which applies to the LP case. The method is described in terms of an LCP tableau, which is seen to provide useful insights. It is shown that the degeneracy procedure only needs to operate when the degenerate constraints are linearly dependent on those in the active set. No significant overheads are incurred by the degeneracy procedure. It is readily implemented in a null space format, and no complications in the matrix algebra are introduced.The guarantees of termination provided by [2], extending in particular to the case where round-off error is present, are preserved in the QP case. It is argued that the technique gives stronger guarantees than are available with other popular methods such as Wolfe's method [11] or the method of Goldfarb and Idnani [7].Presented at the 14th International Symposium on Mathematical Programming, Amsterdam, August 5–9, 1991. |
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Keywords: | Degeneracy quadratic programming linear complementarity problem active set method |
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