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Quadratic Programming with M-Matrices

File(s)
79-396.pdf (1.05 MB)
79-396.ps (675.72 KB)
Permanent Link(s)
https://hdl.handle.net/1813/7510
Collections
Computer Science Technical Reports
Author
Luk, Franklin T.
Pagano, Marcello
Abstract

In this paper, we study the problem of quadratic programming with M-matrices. We describe (1) an effective algorithm for the case where the variables are subject to a lower bound constraint, and (2) an analogous algorithm for the case where the variables are subject to lower and upper bounds constraints. We demonstrate the special monotone behavior of the iterate and gradient vectors. The result on the gradient vector is new. It leads us to consider a simple updating procedure which preserves the monotonicity of both vectors. The procedure uses the fact that an M-matrix has a non-negative inverse. Two new algorithms are then constructed by incorporating this updating procedure into the two given algorithms. We give numerical examples which show that the new methods can be more efficient than the original ones.

Date Issued
1979-10
Publisher
Cornell University
Keywords
computer science
•
technical report
Previously Published as
http://techreports.library.cornell.edu:8081/Dienst/UI/1.0/Display/cul.cs/TR79-396
Type
technical report

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