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Quadratic Programming Solver

Project description

Minimize 1/2 x^T G x - a^T x

Subject to C.T x >= b

This routine uses the the Goldfarb/Idnani dual algorithm [1].

References

  1. D. Goldfarb and A. Idnani (1983). A numerically stable dual method for solving strictly convex quadratic programs. Mathematical Programming, 27, 1-33.

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