Quadratic Programming as an Extension of Classical Quadratic Maximization

H. Theil and C. Van De Panne
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H. Theil: Netherlands School of Economics, Econometric Institute
C. Van De Panne: Netherlands School of Economics, Econometric Institute

Management Science, 1960, vol. 7, issue 1, 1-20

Abstract: The article describes a procedure to maximize a strictly concave quadratic function subject to linear constraints in the form of inequalities. First the unconstrained maximum is considered; when certain constraints are violated, maximization takes place subject to each of these in equational (rather than inequality) form. The constraints which are then violated are added in a similar way to the constraints already imposed. It is shown that under certain general conditions this procedure leads to the required optimum in a finite number of steps. The procedure is illustrated by an example while also a directory of computations is given.

Date: 1960
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