Quadratic Optimization
On Sat, 2 Dec 2006, Martin Maechler wrote:
"SpG" == Spencer Graves <spencer.graves at pdf.com>
on Fri, 01 Dec 2006 17:29:56 -0800 writes:
SpG> Unless I'm missing something, optimizing a linear SpG> function with quadratic constraints is almost trivial SpG> with Langrange multipliers. yes. Good point, let's hope we're not solving someone's homework here :-)
But that is a single equality quadratic constraint, and I believe 'quadratic constraints' (note, plural) conventionally means multiple inequality constraints. That meaning is a hard problem that needs specialized software (most likely using interior-point methods).
SpG> Maximize a'x subject to x'Ax=c.
Not I believe the usual meaning (nor what Googling 'quadratic constraints' came up with for me).
Brian D. Ripley, ripley at stats.ox.ac.uk Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272866 (PA) Oxford OX1 3TG, UK Fax: +44 1865 272595