Decision Optimization

Decision Optimization

Delivers prescriptive analytics capabilities and decision intelligence to improve decision-making.

 View Only

  • 1.  CPLEX Quadratic Simplex

    Posted Tue July 05, 2011 12:38 AM

    Originally posted by: mehtow


    Hi all,

    Do you know which simplex-like algorithm CPLEX uses to solve Quadratic Programs? Any reference on that?

    Thank you so much in advance,
    Mehdi
    #CPLEXOptimizers
    #DecisionOptimization


  • 2.  Re: CPLEX Quadratic Simplex

    Posted Tue July 05, 2011 04:42 AM

    Originally posted by: SystemAdmin


    It is the regular simplex algorithm applied to the KKT conditions of QP optimality. You have to add the special twist to deal with the complementary slackness conditions implicitly in the pricing rule. Just search the web for "QP simplex" and you will find, for example, this reference:
    http://www.me.utexas.edu/~jensen/ORMM/supplements/methods/nlpmethod/S2_quadratic.pdf

    Tobias
    #CPLEXOptimizers
    #DecisionOptimization


Related Content