Theory about the algorithms

Answered

Luca Vitale

• April 17, 2019 12:45

I'm using GUROBI to solve Quadratic Programming (QP) models. I'd like to understand which are the difference between the 3 algorithms available for the QP. Where I can study the barrier methods, the primal simplex and dual simplex? Is there any documentation about these methods? Where I can study the theory?

The implementation is very easy also because I have a lot of examples available. But I didn't find any theory documentation. Is there a section for theory documentation? 

I studied the simplex method for linear programming (LP) but I don't know how the simplex method can also work for QP. Instead, I never studied the barrier method, only the Lagrangian method. I think is similar. 

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  Jakob Schelbert

  • April 17, 2019 14:16

  

  

  Hi Luca,

  barrier is probably better known as interior point methods (https://en.wikipedia.org/wiki/Interior-point_method). The Wikipedia article contains some useful links to papers, for example from Stephen Boyd or Stephen Wright.

  The simplex method, although initially developed for linear objective function, can also be applied for (convex) quadratic objective functions. See for example the following papers:

  P. Wolfe. The simplex method for quadratic programming
  C. Van de Panne and A. Whinston. Simplicial methods for quadratic programmig

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  Luca Vitale

  • April 17, 2019 16:56

  

  

  

  Thank you so much, I will start with these 2 papers! 

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