How to solve a large quadratic programming problem

Interior-point methods would be very well suited for this kind of problem. We call it a bound-constrained linear least-squares problem. An easy way to solve it is to rewrite it as

\begin{align*} \min_{f,r} & \ \|r\|^2 + \alpha \|f\|^2 \\ \mathrm{subject \ to} & \ Kf + r = g \\ & f \geq 0. \end{align*}

That formulation will avoid any occurrence of K^T K, which could be dense and ill conditioned.

The problem can be solved using RipQP.

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