Equality constrained QP

Answered

Mads Almassalkhi

• April 19, 2019 16:00

Hi folks,

I have an equality constrained QP in Julia/JuMP and would like GUROBIt to recognize this and solve it directly using optimality conditions (as a linear system of equations).

Is this possible? I tried playing with Presolve and Method but, even though solve time decreases a good deal, Gurobi still runs the simplex/barrier method.

 

Any suggestion to for GUROBI to recognize

Thanks,

Mads

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• 

  Robert Luce

  Gurobi Staff

  • April 21, 2019 07:23

  I'm assuming that all your variables are unconstrained?  In that case, unfortunately, Gurobi will invoke the barrier method nevertheless.  You may want to consider building the KKT matrix yourself and use an indefinite direct method to solve the system directly from within Julia, say, via ldltfact.

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