A SUBSPACE PROJECTED CONJUGATE GRADIENT ALGORITHM FOR LARGE BOUND CONSTRAINED QUADRATIC PROGRAMMING

(整期优先)网络出版时间:1998-01-11
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Asubspaceprojectedconjugategradientmethodisproposedforsolvinglargeboundconstrainedquadraticprogramming.Theconjugategradientmethodisusedtoupdatethevariableswithindicesoutsideoftheactiveset,whiletheprojectedgradientmethodisusedtoupdatetheactivevariables.Ateveryiterativelevel,thesearchdirectionconsistsoftwoparts,oneofwhichisasubspacetrumcatedNewtondirection,anotherisamodifiedgradientdirection.Withtheprojectedsearchthealgorithmissuitabletolargeproblems.Theconvergenceofthemethodisprovedandsamenumericaltestswithdimensionsrangingfrom5000to20000aregiven.