A Simplex-active-set Algorithm for Piecewise Quadratic Programming
نویسنده
چکیده
An algorithm for monotropic piecewise quadratic programming is developed. It converges to an exact solution in finitely many iterations and can be thought of as an extension of the simplex method for convex programming and the active set method for quadratic programming. Computational results show that solving a piecewise quadratic program is not much harder than solving a quadratic program of the same number of variables. In other words, the computation time is not sensitive to the increase of ”pieces”.
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