forum.alglib.net

ALGLIB forum
It is currently Thu Mar 28, 2024 2:42 pm

All times are UTC


Forum rules


1. This forum can be used for discussion of both ALGLIB-related and general numerical analysis questions
2. This forum is English-only - postings in other languages will be removed.



Post new topic Reply to topic  [ 2 posts ] 
Author Message
 Post subject: Large QP problem with many linear inequality constraints
PostPosted: Mon Apr 09, 2018 7:20 am 
Offline

Joined: Mon Apr 09, 2018 7:06 am
Posts: 1
I have a problem that can be specified loosely as a QP problem with Box constraints, with a dimension of around 1000, but can be specified exactly as a QP problem with linear inequality constraints, with a dimension of around 10000, with around 10000 linear inequality constraints. I see from the documentation that anything over 50 linear constraints seems to be discouraged.
I have set up some code to solve the box constrained version, is it pointless to even attempt the linear constraint version? If it helps, both versions of the problem are semi-definite/convex. Any advice/gotchas I should know about?


Top
 Profile  
 
 Post subject: Re: Large QP problem with many linear inequality constraints
PostPosted: Wed Apr 11, 2018 9:52 am 
Offline
Site Admin

Joined: Fri May 07, 2010 7:06 am
Posts: 903
Hi!

I think that is is better to convert problem to box constrained one. 10000 constraints is a hard problem for dense QP solver, and presently we have no large-scale sparse QP solver.


Top
 Profile  
 
Display posts from previous:  Sort by  
Post new topic Reply to topic  [ 2 posts ] 

All times are UTC


Who is online

Users browsing this forum: No registered users and 52 guests


You cannot post new topics in this forum
You cannot reply to topics in this forum
You cannot edit your posts in this forum
You cannot delete your posts in this forum
You cannot post attachments in this forum

Search for:
Jump to:  
cron
Powered by phpBB © 2000, 2002, 2005, 2007 phpBB Group