NUMERICAL SCALING METHOD FOR MATHEMATICAL PROGRAMS WITH QUADRATIC OBJECTIVES AND/OR QUADRATIC CONSTRAINTS

摘要

A method for a quadratic program or quadratically constrained program stored in a non-transitory computer readable medium, includes receiving input for coefficients of a quadratic problem or a quadratically constrained problem by a computer for storage in the non-transitory computer readable medium, determining scaling factors by a processor by using the input in the quadratic program or quadratically constrained program configured for optimality conditions by considering a symmetric N×N matrix Q⁰ and/or M_q N×N matrices Q^k in the transformation, where N is an integer and k=1, . . . , M_q is an integer, and outputting, by the computer, transformed coefficients of column scaling factor β, row scaling factor α, and right hand side scaling factor γ, where β0, α0 and γ0.