The Simplex Method for Quadratic Programming

Notes on Linear Programming and Extensions-Part 51

by Philip S. Wolfe

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A computational procedure for finding the minimum of a quadratic function of variables subject to linear inequality constraints. The procedure is analogous to the simplex method for linear programming, being based on the Barankin-Dorfman procedure for this problem. A usable computational procedure for quadratic programming can be applied to the solution of elaborate nonlinear programming problems that economic models often present and to such problems as regression, efficient production, the "portfolio"problem, and convex programming

This report is part of the RAND Corporation research memorandum series. The Research Memorandum was a product of the RAND Corporation from 1948 to 1973 that represented working papers meant to report current results of RAND research to appropriate audiences.

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