A note on composite concave quadratic programming

Authors:
Leonid Churilov;Daniel Ralph;Moshe Sniedovich
Affiliations:
School of Business Systems, Monash University, Clayton, Vic. 3168, Australia and Department of Mathematics and Statistics, The University of Melbourne, Parkville, Vic. 3052, Australia;Department of Mathematics and Statistics, The University of Melbourne, Parkville, Vic. 3052, Australia;Department of Mathematics and Statistics, The University of Melbourne, Parkville, Vic. 3052, Australia
Venue:
Operations Research Letters
Year:
1998

Citing 2
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Abstract

In this paper we present a pivotal-based algorithm for the global minimization of composite concave quadratic functions subject to linear constraints. It is shown that certain subclasses of this family yield easy-to-solve line search subproblems. Since the proposed algorithm is equivalent in efficiency to a standard parametric complementary pivoting procedure, the implication is that conventional parametric quadratic programming algorithms can now be used as tools for the solution of much wider class of complex global optimization problems.