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A numerically stable least squares solution to the quadratic programming problem

100%

Übi E.

Open Mathematics

2008

tom 6

nr 1

171-178

The strictly convex quadratic programming problem is transformed to the least distance problem - finding the solution of minimum norm to the system of linear inequalities. This problem is equivalent to the linear least squares problem on the positive orthant. It is solved using orthogonal transformations, which are memorized as products. Like in the revised simplex method, an auxiliary matrix is used for computations. Compared to the modified-simplex type methods, the presented dual algorithm QPLS requires less storage and solves ill-conditioned problems more precisely. The algorithm is illustrated by some difficult problems.

Ograniczanie wyników

1 Open Mathematics

1 Übi E.

1 2008

Wyniki wyszukiwania

A numerically stable least squares solution to the quadratic programming problem