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LSSOL
(invented by Philip Gill, Walter
Murray, Michael Saunders and
Margaret Wright) is a software
package for solving constrained
linear least-squares problems
and convex quadratic programs
(definite or semi definite),
including linear programs. Dense
matrices are assumed throughout
LSSOL is recommended for QP
problems whose objective
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includes
a term of the form x'A'Ax
for some matrix A (which may
be rectangular, square or
triangular).
Linear
constraints and bounds on
the variables are treated
separately by an active-set
method. If the problem has
no feasible solution, LSSOL
minimizes the sum of the constraint
and bound violations.
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A two-phase (primal)
quadratic programming
method is used, with
features to exploit
the convexity of the
objective function.
LSSOL may also be used
for linear programming
and to find a feasible
point with respect to
a set of linear equality
and inequality constraints.
LSSOL treats all matrices
as dense, and hence
is not intended for
large sparse problems.
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LSSOL
requires the quadratic
to be positive definite
or semi definite
On the other hand QPOPT
can be used for general
QP problems (but may
find just a local minimum).
LSSOL is contained in
the nonlinear programming
package NPSOL.
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