I believe that primal-dual interior point algorithms are generally used now for quadratic programming; see, e.g., Vanderbei's book on "Linear Programming: Foundations and Extensions"
Only Andrew can answer if/when quadratic programming will become a part of GLPK. I had just needed to use separable quadratic programming a couple of weeks ago, and instead used GLPK with a piecewise-linear approximation to the quadratic. It was very easy to program in GMPL. In general, if you use 5 or more "pieces" to approximate the quadratic, solving by interior point linear programming algorithms is faster, although in my case the speed up would have been significantly more if GLPK had the preprocessor for interior point algorithms, or if I had re-written my GMPL model to take advantage of obvious preprocessor tricks. -Marc ________________________________ From: [email protected] [mailto:[email protected]] On Behalf Of Manish Jain Sent: Sunday, July 04, 2010 7:41 PM To: [email protected] Subject: [Help-glpk] Quadratic Programming Hello all, I was going through the forums and realized that quadratic programming was mentioned as one of the objectives for future releases. I wanted to know how do people implement augmented langragians now (using a 2-norm augmentation), and when can we expect quadratic programming to be a part of Glpk? Thanks, Manish Jain University of Southern California ---------------------------------------------------------------------------- This e-mail and any attachments may be confidential or legally privileged. If you received this message in error or are not the intended recipient, you should destroy the e-mail message and any attachments or copies, and you are prohibited from retaining, distributing, disclosing or using any information contained herein. Please inform us of the erroneous delivery by return e-mail. Thank you for your cooperation. ----------------------------------------------------------------------------
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