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MathGroup Archive 1996

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How to Solve a Quadratic Programming problem?

  • To: mathgroup at smc.vnet.net
  • Subject: [mg4198] How to Solve a Quadratic Programming problem?
  • From: daniele rizzi <drizzi at chiostro.univr.it>
  • Date: Thu, 13 Jun 1996 23:10:18 -0400
  • Sender: owner-wri-mathgroup at wolfram.com

Hello all,

I'd like to solve a QP problem, in the following form:

min translate(x)*H*x

subject to  translate(E)*x = E_f
            \sum_{i=1}^n x_i = 1
            0 <= x_i <= 1  \forall i \in (1, n)
            
where : x is a n-term solution vector;
        E is a n-term constrain vector;
        E_f is a parameter of the problem;
        H is a n x n-term Symmetric Positive (semi)Definite Matrix.

Mathematica is quite good at solving linear constrained (LP) problems
 (via Simplex-based routines) and general unconstrained instances, 
but what about quadratic objective function? Is there some "ready-made"
routine or have I to write down my own code to tackle with that?

Thanks for you support.

daniele rizzi
(drizzi at chiostro.univr.it)

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