QL - Quadratic Programming

Version 3.0 (2010)
 
Purpose:
QL solves quadratic programming problems with a positive definite objective function matrix and linear equality and inequality constraints.
Numerical Method:
The algorithm is an implementation of the dual method of Goldfarb and Idnani and a modification of the original implementation of Powell. Initially, the algorithm computes a solution of the unconstrained problem by performing a Cholesky decomposition and by solving the triangular system. In an iterative way, violated constraints are added to a working set and a minimum with respect to the new subsystem with one additional constraint is calculated. Whenever necessary, a constraint is dropped from the working set. The internal matrix transformations are performed in numerically stable way.
Program Organization:
QL is a FORTRAN subroutine where all data are passed by subroutine arguments.
Special Features:
  1. separate handling of upper and lower bounds
  2. initially given Cholesky decomposition exploited
  3. full documentation
  4. FORTRAN source code (close to F77, conversion to C by f2c possible)
Applications:
As an essential part of the nonlinear programming routine NLPQLP, QL solves the internal quadratic programming subproblem of the SQP-method and has therefore the same domain of application as NLPQLP.
Reference:
M.J.D. Powell, On the quadratic programming algorithm of Goldfarb and Idnani, Report DAMTP 1983/Na 19, University of Cambridge, Cambridge (1983) 
K. Schittkowski, QL: A Fortran code for convex quadratic programming - User's guide, Version 2.11, Report, Department of Mathematics, University of Bayreuth (2005)

Availability:
For more details contact the author or click here for free license for members and students of academic institutions.

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klaus@schittkowski.de QL, NEOS Guide