Preprocessing for quadratic programming

Authors:
Nick Gould;Philippe L. Toint
Affiliations:
Computational Science and Engineering Department, Rutherford Appleton Laboratory, Oxfordshire England;University of Namur, Department of Mathematics, Belgium
Venue:
Mathematical Programming: Series A and B
Year:
2004

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Abstract

Techniques for the preprocessing of (not-necessarily convex) quadratic programs are discussed. Most of the procedures extend known ones from the linear to quadratic cases, but a few new preprocessing techniques are introduced. The implementation aspects are also discussed. Numerical results are finally presented to indicate the potential of the resulting code, both for linear and quadratic problems. The impact of insisting that bounds of the variables in the reduced problem be as tight as possible rather than allowing some slack in these bounds is also shown to be numerically significant.