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Stable interior point method for convex quadratic programming with strict error bounds

Martin Neuenhofen(martinneuenhofen***at***googlemail.com)
Stefania Bellavia(stefania.bellavia***at***unifi.it)

Abstract: We present a short step interior point method for solving a class of nonlinear programming problems with quadratic objective function. Convex quadratic programming problems can be reformulated as problems in this class. The method is shown to have weak polynomial time complexity. A complete proof of the numerical stability of the method is provided. No requirements on feasibility, row-rank of the constraint Jacobian, strict complementarity, or conditioning of the problem are made. Infeasible problems are solved to an optimal interior least-squares solution.

Keywords: Interior Point methods, quadratic programming, complexity analysis, numerical stability

Category 1: Nonlinear Optimization (Quadratic Programming )

Citation:

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Entry Submitted: 05/11/2018
Entry Accepted: 05/11/2018
Entry Last Modified: 05/11/2018

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