Chapter 3 Quadratic Programming
The reduced KKT system (3.9) can be solved by a Cholesky factorization of the reduced Hessian ZTBZ 2 lR(n¡m)£(n¡m). Once w Y and wZ have been computed as the solutions of (3.8) and (3.9), x⁄ is obtained according to (3.7). Finally, the Lagrange multiplier turns out …
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