A canonical dual approach for solving linearly constrained quadratic programs

Wenxun Xing, Shu-Cherng Fang, Ruey-Lin Sheu and Ziteng Wang

European Journal of Operational Research, 2012, vol. 218, issue 1, 21-27

Abstract: 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.

Keywords: Quadratic programming; Global optimization; Canonical duality theory (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:218:y:2012:i:1:p:21-27

DOI: 10.1016/j.ejor.2011.09.015

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