Quadratic Programming as an Extension of Classical Quadratic Maximization

The article describes a procedure to maximize a strictly concave quadratic function subject to linear constraints in the form of inequalities. First the unconstrained maximum is considered; when certain constraints are violated, maximization takes place subject to each of these in equational (rather than inequality) form. The constraints which are then violated are added in a similar way to the constraints already imposed. It is shown that under certain general conditions this procedure leads to the required optimum in a finite number of steps. The procedure is illustrated by an example while also a directory of computations is given.

• 저널Management Science · 7(1) · 1–20
• 토픽Advanced Optimization Algorithms Research · Numerical Analysis
• DOI10.1287/mnsc.7.1.1
• 저자Henri Theil, C. van de Panne