A CHOLESKY DUAL METHOD FOR PROXIMAL PIECEWISE-LINEAR PROGRAMMING

A quadratic programming method is given for minimizing a sum of piecew ise linear functions and a proximal quadratic term, subject to simple bounds on variables. It may be used for search direction finding in no ndifferentiable optimization algorithms. An efficient implementation i s described that updates a Cholesky factorization of active constraint s and provides good accuracy via iterative refinement. Numerical exper ience is reported for some large problems.