Abstract
This paper introduces the use of stochastic models for the evaluation of relative computational efficiency of algorithms. Such an approach is used for the comparison of computational efficiency of three algorithms for quadratic programming.
Similar content being viewed by others
References
R. Benveniste, “A quadratic programming algorithm using conjugate search directions”,Mathematical Programming 16 (1979) 63–80.
R. Benveniste, “Quadratic programming using conjugate search directions”, unpublished Ph.D Thesis, University of London (1979), Chapter 6.
A. Buckley, “An alternative implementation of Goldfarb's minimization algorithm”,Mathematical Programming 8 (1975) 207–231.
R. Fletcher and C.H. Reeves, “Function minimization by conjugate gradients”,Computer Journal 7 (1964) 149–154.
D. Goldfarb, “Extension of Davidon's variable metric algorithm to maximization under linear inequality and equality constraints”,SIAM Journal on Applied Mathematics (1969) 739–764.
D.L. Isaacson and R.W. Madsen,Markovian chains theory and applications (John Wiley, New York, 1976).
B.A. Murtagh and M.A. Saunders, “Large scale linearly constrained optimization”,Mathematical Programming 14 (1978) 41–72.
M.J.D. Powell, “Quadratic termination properties of minimization algorithms. I. Statement and discussion of results”,Journal of the Institute of Mathematics and its Applications (1972) 333–342.
M.J.D. Powell, “Quadratic termination properties of minimization algorithms. II. Proofs of theorems”,Journal of the Institute of Mathematics and its Applications (1972) 343–357.
P. Wolfe, “Methods for non-linear programming” in: R.L. Graves and P. Wolfe, eds.,Recent advances in mathematical programming (McGraw-Hill, New York, 1963) pp. 67–86.
P. Wolfe, “Methods for linear constraints”, in: J. Abadie, ed.,Non-linear programming (North-Holland, Amsterdam, 1967) pp. 120–124.
Author information
Authors and Affiliations
Rights and permissions
About this article
Cite this article
Benveniste, R. Evaluating computational efficiency: A stochastic approach. Mathematical Programming 22, 261–287 (1982). https://doi.org/10.1007/BF01581043
Received:
Revised:
Issue Date:
DOI: https://doi.org/10.1007/BF01581043