RE: [Help-glpk] Quadratic Programming

[Meketon, Marc]

I believe that primal-dual interior point algorithms are generally used now for quadratic programming; see, e.g., Vanderbei’s book on “Linear Programming:  Foundations and Extensions”

 

Only Andrew can answer if/when quadratic programming will become a part of GLPK.

 

I had just needed to use separable quadratic programming a couple of weeks ago, and instead used GLPK with a piecewise-linear approximation to the quadratic.  It was very easy to program in GMPL.  In general, if you use 5 or more “pieces” to approximate the quadratic, solving by interior point linear programming algorithms is faster, although in my case the speed up would have been significantly more if GLPK had the preprocessor for interior point algorithms, or if I had re-written my GMPL model to take advantage of obvious preprocessor tricks.

 

-Marc

 

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From: address@hidden [mailto:address@hidden On Behalf Of Manish Jain
Sent: Sunday, July 04, 2010 7:41 PM
To: address@hidden
Subject: [Help-glpk] Quadratic Programming

 

Hello all,

I was going through the forums and realized that quadratic programming was mentioned as one of the objectives for future releases.

 

I wanted to know how do people implement augmented langragians now (using a 2-norm augmentation), and when can we expect quadratic programming to be a part of Glpk?

 

Thanks,

Manish Jain
University of Southern California

 

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