ZQPCVX
On the quadratic programming algorithm of Goldfarb and Idnani. Two implementations of the algorithm of D. Goldfarb and A. Idnani [Math. Program. 27, 1-33 (1983; Zbl 0537.90081)] for convex quadratic programming are considered. A pathological example shows that the faster one can be unstable, but numerical testing on some difficult problems indicates that both implementations give excellent accuracy. Therefore the author has provided for general use a Fortran subroutine [”ZQPCVX: a Fortran subroutine for convex, quadratic programming”, Report DAMTP/1983/NA17, Dept. Appl. Math. Theor. Phys., Univ. of Cambridge (1983)] that applies the faster implementation. This subroutine is compared with two widely available quadratic programming subroutines that employ feasible point methods, namely QPSOL [see P. E. Gill, W. Murray, M. A. Saunders and M. H. Wright, ”User’s guide for SOL/QPSOL: A Fortran package for quadratic programming”, Report SOL 83-7, Systems Optim. Lab., Rept. Oper. Res., Stanford Univ. (1983)] and VEO2A [see R. Fletcher, ”A Fortran subroutine for general quadratic programming”, Report AERE-R 6370, Harwell (1970)]. We conclude that the algorithm of Goldfarb and Idnani is very suitable in practice for convex quadratic programming calculations.
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