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Separable quadratic programming via a primal-dual interior point method and its use in a sequential procedure. (English) Zbl 0777.90038
Summary: This paper extends a primal-dual interior point procedure for linear programs to the case of convex separable quadratic objectives. Included are efficient procedures for: attaining primal and dual feasibility, variable upper bounding, and free variables. A sequential procedure that invokes the quadratic solver is proposed and implemented for solving linearly constrained convex separable nonlinear programs. Computational results are provided for several large test cases from stochastic programming. The proposed methods compare favorably with MINOS, especially for the larger examples. The nonlinear programs range in size up to 8,700 constraints and 22,000 variables.

MSC:
90C20 Quadratic programming
90-08 Computational methods for problems pertaining to operations research and mathematical programming
90C25 Convex programming
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