TY - JOUR
T1 - A canonical dual approach for solving linearly constrained quadratic programs
AU - Xing, Wenxun
AU - Fang, Shu Cherng
AU - Sheu, Ruey Lin
AU - Wang, Ziteng
N1 - Funding Information:
Xing’s research has been supported by the Key Project No. 108005 of the Chinese Ministry of Education and Grant Nos. 10801087 and 11171177 of the China National Science Foundation . Fang’s research has been supported by Grant No. DMI-0553310 of the United States National Science Foundation . Sheu’s research has been sponsored by the Grant No. 98-2115-M-006-010-MY2 of the Taiwan National Science Council.
PY - 2012/4/1
Y1 - 2012/4/1
N2 - 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.
AB - 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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U2 - 10.1016/j.ejor.2011.09.015
DO - 10.1016/j.ejor.2011.09.015
M3 - Article
AN - SCOPUS:83955164245
SN - 0377-2217
VL - 218
SP - 21
EP - 27
JO - European Journal of Operational Research
JF - European Journal of Operational Research
IS - 1
ER -