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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