QPAL - A solver of convex quadratic optimization problems, using an augmented Lagrangian approach - Inria - Institut national de recherche en sciences et technologies du numérique
Rapport (Rapport Technique) Année : 2009

QPAL - A solver of convex quadratic optimization problems, using an augmented Lagrangian approach

Résumé

QPAL is a piece of software that aims at solving a convex quadratic optimization problem with linear equality and inequality constraints. The implemented algorithm uses an augmented Lagrangian approach, which relaxes the equality constraints and deals explicitely with the bound constraints on the original and slack variables. The generated quadratic functions are minimized on the activated faces by a truncated conjugate gradient algorithm, interspersed with gradient projection steps. When the optimal value is finite, convergence occurs at a linear speed that can be prescribed by the user. Matrices can be strored in dense or sparse structures; in addition, the Hessian of the quadratic objective function may have a direct of inverse $\ell$-BFGS form. QPAL is written in Fortran-2003.
Fichier principal
Vignette du fichier
RT-0377.pdf (343.02 Ko) Télécharger le fichier
Origine Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

inria-00442295 , version 1 (19-12-2009)

Licence

Identifiants

  • HAL Id : inria-00442295 , version 1

Citer

Jean Charles Gilbert. QPAL - A solver of convex quadratic optimization problems, using an augmented Lagrangian approach. [Technical Report] RT-0377, INRIA. 2009, pp.22. ⟨inria-00442295⟩
181 Consultations
213 Téléchargements

Partager

More