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A Newton's method for the continuous quadratic knapsack problem

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Author(s):
Cominetti, Roberto ; Mascarenhas, Walter F. ; Silva, Paulo J. S.
Total Authors: 3
Document type: Journal article
Source: MATHEMATICAL PROGRAMMING COMPUTATION; v. 6, n. 2, p. 19-pg., 2014-06-01.
Abstract

We introduce a new efficient method to solve the continuous quadratic knapsack problem. This is a highly structured quadratic program that appears in different contexts. The method converges after O(n) iterations with overall arithmetic complexity O(n(2)). Numerical experiments show that in practice the method converges in a small number of iterations with overall linear complexity, and is faster than the state-of-the-art algorithms based on median finding, variable fixing, and secant techniques. (AU)

FAPESP's process: 12/20339-0 - Penalty methods, optimality conditions, and applications
Grantee:Paulo José da Silva e Silva
Support Opportunities: Regular Research Grants