Fast algorithm for singly linearly constrained quadratic programs with box-like constraints.

Liu, Meijiao; Liu, Yong-Jin

This paper focuses on a singly linearly constrained class of convex quadratic programs with box-like constraints. We propose a new fast algorithm based on parametric approach and secant approximation method to solve this class of quadratic problems. We design efficient implementations for our proposed algorithm and compare its performance with two state-of-the-art standard solvers called Gurobi and Mosek. Numerical results on a variety of test problems demonstrate that our algorithm is able to efficiently solve the large-scale problems with the dimension up to fifty million and it substantially outperforms Gurobi and Mosek in terms of the running time.

QUADRATIC programming; SECANT function; ALGORITHMS; MATHEMATICAL variables; LINEAR equations

Computational Optimization & Applications, 2017, Vol 66, Issue 2, p309

0926-6003

Academic Journal

10.1007/s10589-016-9863-8