ε Suboptimality Based Accelerated Termination for Quadratic Programming Using Dual Decomposition - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2021

ε Suboptimality Based Accelerated Termination for Quadratic Programming Using Dual Decomposition

Xiang Dai
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Romain Bourdais
Hervé Guéguen

Résumé

In solving quadratic programming, analytical and dual decomposition based iterative method are 2 main approaches. However, the defects are evident: the former only works with small size problems and the latter only guarantees feasibility in the limit of iterations. In this paper, we propose a proactive method by combining these 2 methods to solve the optimal solution through dynamically identifying the active inequalities constraints. Further, to faster terminate the iterative process, we propose a suboptimal method based on cone programming to deliver feasible solutions with suboptimality guarantee. In addition to the mathematical proofs provided, various random simulations illustrate the effectiveness of the suboptimal method.
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Dates et versions

hal-03266186 , version 1 (21-06-2021)
hal-03266186 , version 2 (18-07-2021)
hal-03266186 , version 3 (22-02-2022)

Identifiants

  • HAL Id : hal-03266186 , version 1

Citer

Xiang Dai, Romain Bourdais, Hervé Guéguen. ε Suboptimality Based Accelerated Termination for Quadratic Programming Using Dual Decomposition. 2021. ⟨hal-03266186v1⟩
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