Stable reduced Hessian updates for indefinite quadratic programming

R. Fletcher

    Research output: Contribution to journalArticlepeer-review

    13 Citations (Scopus)

    Abstract

    Stable techniques are considered for updating the reduced Hessian matrix that arises in a null-space active set method for quadratic programming when the Hessian matrix itself may be indefinite. A scheme for defining and updating the null-space basis matrix is described which is adequately stable and allows advantage to be taken of sparsity in the constraint matrix. A new canonical form for the reduced Hessian matrix is proposed that can be updated in a numerically stable way. Some consequences for the choice of minor iteration search direction are described.
    Original languageEnglish
    Pages (from-to)251-264
    Number of pages14
    JournalMathematical Programming
    Volume87
    Issue number2
    DOIs
    Publication statusPublished - 1 Apr 2000

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