Stable reduced Hessian updates for indefinite quadratic programming

TY - JOUR

T1 - Stable reduced Hessian updates for indefinite quadratic programming

AU - Fletcher, R.

N1 - Copyright 2005 Elsevier B.V., All rights reserved.

PY - 2000/4/1

Y1 - 2000/4/1

N2 - 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.

AB - 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.

UR - https://www.scopus.com/pages/publications/19844383895

U2 - 10.1007/s101070050113

DO - 10.1007/s101070050113

M3 - Article

AN - SCOPUS:19844383895

SN - 0025-5610

VL - 87

SP - 251

EP - 264

JO - Mathematical Programming

JF - Mathematical Programming

IS - 2

ER -