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Article
Perturbing Dual Feasible Region for Solving Convex Quadratic Programs
Journal of Optimization Theory and Applications (1997)
  • Shu-Cherng Fang, North Carolina State University at Raleigh
  • Jacob Tsao, San Jose State University
Abstract

A dual l p-norm perturbation approach is introduced for solving convex quadratic programming problems. The feasible region of the Lagrangian dual program is approximated by a proper subset that is defined by a single smooth convex constraint involving the l p-norm of a vector measure of constraint violation. It is shown that the perturbed dual program becomes the dual program as p→∞ and, under some standard conditions, the optimal solution of the perturbed dual program converges to a dual optimal solution. A closed-form formula that converts an optimal solution of the perturbed dual program into a feasible solution of the primal convex quadratic program is also provided. Such primal feasible solutions converge to an optimal primal solution as p→∞. The proposed approach generalizes the previously proposed primal perturbation approach with an entropic barrier function. Its theory specializes easily for linear programming.

Publication Date
1997
Publisher Statement
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Citation Information
Shu-Cherng Fang and Jacob Tsao. "Perturbing Dual Feasible Region for Solving Convex Quadratic Programs" Journal of Optimization Theory and Applications Vol. 94 Iss. 1 (1997)
Available at: http://works.bepress.com/jacob_tsao/26/