An interior-exterior approach for convex quadratic programming

Authors:
Khalid El Yassini;Safae El Haj Ben Ali
Affiliations:
Department of Mathematics and Computer Sciences, Faculty of Sciences, Moulay Ismaïl University, B.P. 11 201, Zitoune, Meknès, Morocco;Department of Mathematics and Computer Sciences, Faculty of Sciences, Moulay Ismaïl University, B.P. 11 201, Zitoune, Meknès, Morocco
Venue:
Applied Numerical Mathematics
Year:
2012

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Abstract

In the last decade, a new class of interior-exterior algorithms for linear programming was developed. The method was based on the use of mixed penalty function with two separate parameters to solve a set of sub-penalized problems associated to the initial problem. To study the necessary optimality conditions, one introduced a new concept of the so-called pseudo-gap to describe fully the optimal primal and dual solutions. Only one Newton iteration is sufficient to approximate the solution of penalized problem which satisfies a criterion of proximity. The purpose of this work is to extend the approach to the convex quadratic programming problems.