Inputs , , , , , . | Step 1 Set , , extract the vectors , | and the submatrices , and (see (A.1) in the Appendix), | and the vector of active bounds. | Step 2 If # the case is degenerate (STOP). | Step 3 Calculate the inverse matrix . | Step 4 Calculate , , , , , . | Step 5 Calculate , , , according to (A.14). | Step 6 Calculate , according to (A.11), as well as | , . | Step 7 Calculate , , , according to (A.15). | Step 8 Define a set of lower bounds for containing: | (i) , | (ii) for provided that , | (iii) for provided that , | (iv) for provided that , (where , | ), | (v) for provided that (where , | , | Step 9 Define . | Step 10 Define a set of upper bounds for containing: | (i) for provided that , | (ii) for provided that , | (iii) for provided that , | (iv) for provided that , | Step 11 Define . | Step 12 If the case is degenerate (STOP). | Step 13 Calculate , , according to (A.19). | Outputs , , , , , , , , , , , , . |
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