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 Post subject: Question about quadratic programming algorithm
PostPosted: Tue Apr 09, 2013 2:56 pm 
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Joined: Fri Feb 15, 2013 3:22 pm
Posts: 11
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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 Post subject: Re: Question about quadratic programming algorithm
PostPosted: Tue Apr 09, 2013 5:50 pm 
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Joined: Fri May 07, 2010 7:06 am
Posts: 878
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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 Post subject: Re: Question about quadratic programming algorithm
PostPosted: Tue Apr 09, 2013 6:43 pm 
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Joined: Fri Feb 15, 2013 3:22 pm
Posts: 11
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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