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Optimal objective function approximation for separable convex quadratic programming

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Abstract

We present an optimal piecewise-linear approximation method for the objective function of separable convex quadratic programs. The method provides guidelines on how many grid points to use and how to position them for a piecewise-linear approximation if the error induced by the approximation is to be bounded a priori.

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Authors and Affiliations

  1. School of Business, Loyola University Chicago, 60611, Chicago, Illinois, USA

    F. Güder

  2. School of Business, University of Wisconsin-Madison, 53706, Madison, Wisconsin, USA

    J. G. Morris

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  1. F. Güder
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  2. J. G. Morris
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Güder, F., Morris, J.G. Optimal objective function approximation for separable convex quadratic programming. Mathematical Programming 67, 133–142 (1994). https://doi.org/10.1007/BF01582218

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  • DOI: https://doi.org/10.1007/BF01582218

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