Iterative Methods for Large Convex Quadratic Programs: A Survey

In this paper, we give a state-of-the-art review of many iterative methods for solving large convex quadratic programs. We attempt to classify several of the more basic methods in two categories, within each of which a unified iterative scheme will be introduced and its convergence analyzed. Hybrid iterative methods (such as the proximal point algorithm and a diagonalization scheme) that make use of the more basic schemes will also be described. The results of an extensive computer experimentation which is aimed at comparing the relative performance of the various methods will be reported and discussed. Finally, several important topics which require future research will be highlighted.