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| Help with quadratic programming http://forum.alglib.net/viewtopic.php?f=2&t=780 |
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| Author: | rirroromeu [ Fri Feb 22, 2013 6:12 pm ] |
| Post subject: | Help with quadratic programming |
Hello In the Reference Manual says that the function sets minqpsetstartingpoint starting point for QP solver. It is useful To Have good initial approximation to the solution, Because It Will Increase speed of convergence and identification of active constraints. I want to use this function but I need to know what criteria you use "ALGLIB" to find an optimal solution from the initial point. Knowing this would help me to set the starting point of my quadratic programming problem. thanks |
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| Author: | Sergey.Bochkanov [ Tue Feb 26, 2013 12:40 pm ] |
| Post subject: | Re: Help with quadratic programming |
ALGLIB uses active set method which almost monotonically decreases target function value. Thus, initial point should be: * feasible * if possible, good approximation of the solution Feasibility is strongly desired, second property is less essential. |
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| Author: | rirroromeu [ Wed Feb 27, 2013 10:48 pm ] |
| Post subject: | Re: Help with quadratic programming |
Thanks for your answer: I wonder if you could help me with some literature that allows me to understand the active set method. In this way you will help me find my initial point quadratic programming problem. |
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