A Newton's method for the continuous quadratic knapsack problem

被引：28
|
作者：
Cominetti R. [1 ]
Mascarenhas W.F. [2 ]
Silva P.J.S. [3 ]
机构：
[1] Departamento de Ingenieŕa Industrial, Universidad de Chile, Santiago
[2] Computer Science Department, University of São Paulo, São Paulo
[3] Applied Mathematics Department, University of Campinas, Campinas
来源：
Mathematical Programming Computation | 2014年 / 6卷 / 2期
基金：
巴西圣保罗研究基金会;
关键词：
Continuous quadratic knapsack; Duality; Semismooth Newton; Simplex projections;
D O I：
10.1007/s12532-014-0066-y
中图分类号：
学科分类号：
摘要：
We introduce a new efficient method to solve the continuous quadratic knapsack problem. This is a highly structured quadratic program that appears in different contexts. The method converges after O(n) iterations with overall arithmetic complexity O(n2). Numerical experiments show that in practice the method converges in a small number of iterations with overall linear complexity, and is faster than the state-of-the-art algorithms based on median finding, variable fixing, and secant techniques. © Springer-Verlag Berlin Heidelberg and Mathematical Optimization Society 2013.
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页码：151 / 169
页数：18
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