We consider the strictly convex quadratic programming problem with bounded variables. A dual problem is derived using Lagrange duality. The dual problem is the minimization of an unconstrained, piecewise quadratic function. It involves a lower bound of lambda/sub 1/ , the smallest eigenvalue of a symmetric, positive definite matrix, and is solved by Newton iteration with line search. The paper describes the algorithm and its implementation including estimation of lambda/sub 1/ , how to get a good starting point for the iteration, and up- and downdating of Cholesky factorization. Results of extensive testing and comparison with other methods for constrained QP are given.
|Publication status||Published - 1999|