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Fast algorithm for singly linearly constrained quadratic programs with box-like constraints

Author

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  • Meijiao Liu

    (Shenyang Aerospace University)

  • Yong-Jin Liu

    (Shenyang Aerospace University)

Abstract

This paper focuses on a singly linearly constrained class of convex quadratic programs with box-like constraints. We propose a new fast algorithm based on parametric approach and secant approximation method to solve this class of quadratic problems. We design efficient implementations for our proposed algorithm and compare its performance with two state-of-the-art standard solvers called Gurobi and Mosek. Numerical results on a variety of test problems demonstrate that our algorithm is able to efficiently solve the large-scale problems with the dimension up to fifty million and it substantially outperforms Gurobi and Mosek in terms of the running time.

Suggested Citation

  • Meijiao Liu & Yong-Jin Liu, 2017. "Fast algorithm for singly linearly constrained quadratic programs with box-like constraints," Computational Optimization and Applications, Springer, vol. 66(2), pages 309-326, March.
    • Handle: RePEc:spr:coopap:v:66:y:2017:i:2:d:10.1007_s10589-016-9863-8
    DOI: 10.1007/s10589-016-9863-8
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    References listed on IDEAS

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    1. K. C. Kiwiel, 2008. "Variable Fixing Algorithms for the Continuous Quadratic Knapsack Problem," Journal of Optimization Theory and Applications, Springer, vol. 136(3), pages 445-458, March.
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    3. K. C. Kiwiel, 2007. "On Linear-Time Algorithms for the Continuous Quadratic Knapsack Problem," Journal of Optimization Theory and Applications, Springer, vol. 134(3), pages 549-554, September.
    4. Gabriel R. Bitran & Arnoldo C. Hax, 1981. "Disaggregation and Resource Allocation Using Convex Knapsack Problems with Bounded Variables," Management Science, INFORMS, vol. 27(4), pages 431-441, April.
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