LOQO: An interior point code for quadratic programming

被引:199
作者
Vanderbei, RJ [1 ]
机构
[1] Princeton Univ, Princeton, NJ 08544 USA
基金
美国国家科学基金会;
关键词
D O I
10.1080/10556789908805759
中图分类号
TP31 [计算机软件];
学科分类号
081202 ; 0835 ;
摘要
This paper describes a software package, called LOQO, which implements a primal-dual interior-point method for general nonlinear programming. We focus in this paper mainly on the algorithm as it applies to linear and quadratic programming with only brief mention of the extensions to convex and general nonlinear programming, since a detailed paper describing these extensions was published recently elsewhere. In particular, we emphasize the importance of establishing and maintaining symmetric quasidefiniteness of the reduced KKT system. We show that the industry standard MPS format can be nicely formulated in such a way to provide quasidefiniteness. Computational results are included for a variety of linear and quadratic programming problems.
引用
收藏
页码:451 / 484
页数:34
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