A finite continuation algorithm for bound constrained quadratic programming

Date
1998
Authors
Madsen, K.
Nielsen, H. B.
Pınar, M. C.
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Source Title
SIAM Journal on Optimization
Print ISSN
1052-6234
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Publisher
Society for Industrial and Applied Mathematics Publications
Volume
9
Issue
1
Pages
62 - 83
Language
English
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Abstract

The dual of the strictly convex quadratic programming problem with unit bounds is posed as a linear ℓ1 minimization problem with quadratic terms. A smooth approximation to the linear ℓ1 function is used to obtain a parametric family of piecewise-quadratic approximation problems. The unique path generated by the minimizers of these problems yields the solution to the original problem for finite values of the approximation parameter. Thus, a finite continuation algorithm is designed. Results of extensive computational experiments are reported.

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