MPC

Mathematical Programming Computation, Volume 5, Issue 2, June 2013

Trajectory-following methods for large-scale degenerate convex quadratic programming

Nicholas I. M. Gould, Dominique Orban, Daniel P. Robinson

We consider a class of infeasible, path-following methods for convex quadratric programming. Our methods are designed to be effective for solving both nondegerate and degenerate problems, where degeneracy is understood to mean the failure of strict complementarity at a solution. Global convergence and a polynomial bound on the number of iterations required is given. An implementation, CQP, is available as part of GALAHAD. We illustrate the advantages of our approach on the CUTEr and Maros–Meszaros test sets.

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