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| Question about quadratic programming algorithm http://forum.alglib.net/viewtopic.php?f=2&t=812 |
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| Author: | rirroromeu [ Tue Apr 09, 2013 2:56 pm ] |
| Post subject: | Question about quadratic programming algorithm |
Hello I am using the package "minqp" of "alglib" to solve quadratic programming problems. I need to know which algorithm uses "alglib" to solve quadratic programming problems. thanks |
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| Author: | Sergey.Bochkanov [ Tue Apr 09, 2013 5:50 pm ] |
| Post subject: | Re: Question about quadratic programming algorithm |
It is active set method, combination of projected gradient and Newton methods: 1. it performs several steepest descent steps (with respect to active constraints), activating and deactivating constraints as necessary 2. it checks stopping criteria; in case they met, algorithm is stopped 3. it tries Newton step; in case Newton step leads to infeasible point, it performs bounded step and activates one constraint. 4. goto (1) |
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| Author: | rirroromeu [ Tue Apr 09, 2013 6:43 pm ] |
| Post subject: | Re: Question about quadratic programming algorithm |
Hello Thanks for the reply. But I still have doubts. When you say in step 2 "it checks stopping criteria, in case They Met, algorithm is stopped". What is the condition of stop? I ask this because I have tried to solve problems with hundreds of variables and hundreds of constraints and the program keeps running without reimburse any result. thanks |
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