An $O(n^{2})$ active set method for solving a parametric quadratic program

by Manuel A. Gomez, Department of Applied Economics,
University of A Coruna

Abstract:

In this paper, it is considered a certain parametric quadratic program. The
objetive function is a quadratic function, whose hessian is a positive
diagonal matrix, plus an $L_{1}$ penalty term multiplied by a parameter.
The variables are subject to lower and upper bounds. We present an
$O(n^{2})$ method for solving the described parametric quadratic program,
for all nonnegative values of the parameter. It is also shown that this
problem arises naturally in a tax programming model.