Trajectory-following methods for large-scale degenerate convex quadratic programming
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 MarosMeszaros test sets.
convex quadratic programming path-following methods degenerate problems software 65k05 90c20 90c25 90c51