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A class of methods for solving large, convex quadratic programs subject to box constraints. (English) Zbl 0737.90046
Summary: We analyze conjugate gradient-type algorithms for solving convex quadratic programs subject only to box constraints (i.e. lower and upper bounds on the variables). Programs of this type, which we denote by BQP, play an important role in many optimization models and algorithms. We propose a new class of finite algorithms based on a nonfinite heuristic for solving a large, sparse BQP. The numerical results suggest that these algorithms are competitive with the CRGP algorithm of R. S. Dembo and U. Tulowitzki [“On the minimization of a quadratic function subject to box constraints”, Working Paper No. 71, Ser. B, School Organiz. Manage., Yale Univ. (New Haven/CT 1983)] in general, and perform better than CRGP for problems that have a low percentage of free variables at optimality, and for problems with only nonnegativity constraints.

MSC:
90C20 Quadratic programming
90C25 Convex programming
90C06 Large-scale problems in mathematical programming
90-08 Computational methods for problems pertaining to operations research and mathematical programming
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References:
[1] R.S. Dembo and U. Tulowitzski, ”On the minimization of a quadratic function subject to box constraints,” Working Paper No. 71, Series B, School of Organization and Management, Yale University (New Haven, CT, 1983).
[2] R. Fletcher and M.P. Jackson, ”Minimization of a quadratic function of many variables subject only to lower and upper bounds,”Journal of the Institute of Mathematics and Its Applications 14 (1974) 159–174. · Zbl 0301.90032
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[6] E. Yang and J.W. Tolle, ”A class of methods for solving large, convex quadratic programs subject to box constraints,” Technical Report 86-3, Department of Operations Research, University of North Carolina (Chapel Hill, NC, 1986). · Zbl 0737.90046
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