Box Constrained Quadratic Programming with Proportioning and Projections

Two new closely related concepts are introduced that depend on a positive constant Γ. An iteration is proportional if the norm of violation of the Kuhn--Tucker conditions at active variables does not excessively exceed the norm of the part of the gradient that corresponds to free variables, while a progressive direction determines a descent direction that enables the released variables to move far enough from the boundary in a step called proportioning. An algorithm that uses the conjugate gradient method to explore the face of the region defined bythe current iterate until a disproportional iteration is generated is proposed. It then changes the face by means of the progressive direction. It is proved that for strictly convex problems, the proportioning is a spacer iteration so that the algorithm converges to the solution. If the solution is nondegenerate then the algorithm finds the solution in a finite number of steps. Moreover, a simple lower bound on Γ is given to ensure finite termination even for problems with degenerate solutions. The theory covers a class of algorithms, allowing many constraints to be added or dropped at a time and accepting approximate solutions of auxiliary problems. Preliminary numerical results are promising.