An active set algorithm for nonlinear optimization with polyhedral constraints
نویسندگان
چکیده
منابع مشابه
An active set algorithm for nonlinear optimization with polyhedral constraints
A polyhedral active set algorithm PASA is developed for solving a nonlinear optimization problem whose feasible set is a polyhedron. Phase one of the algorithm is the gradient projection method, while phase two is any algorithm for solving a linearly constrained optimization problem. Rules are provided for branching between the two phases. Global convergence to a stationary point is established...
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Numerical test results are presented for solving smooth nonlinear programming problems with a large number of constraints, but a moderate number of variables. The active set method proceeds from a given bound for the maximum number of expected active constraints at an optimal solution, which must be less than the total number of constraints. A quadratic programming subproblem is generated with ...
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A new algorithm for large-scale nonlinear programs with box constraints is introduced. The algorithm is based on an eecient identiication technique of the active set at the solution and on a nonmonotone stabilization technique. It possesses global and superlinear convergence properties under standard, mild assumptions. A new technique for generating test problems with known characteristics is a...
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It is well known that the active set algorithm is very effective for smooth box constrained optimization. Many achievements have been obtained in this field. We extend the active set method to nonsmooth box constrained optimization problems, using the Moreau-Yosida regularization technique to make the objective function smooth. A limited memory BFGS method is introduced to decrease the workload...
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Recently an affine scaling, interior point algorithm ASL was developed for box constrained optimization problems with a single linear constraint (GonzalezLima et al., SIAM J. Optim. 21:361–390, 2011). This note extends the algorithm to handle more general polyhedral constraints. With a line search, the resulting algorithm ASP maintains the global and R-linear convergence properties of ASL. In a...
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ژورنال
عنوان ژورنال: Science China Mathematics
سال: 2016
ISSN: 1674-7283,1869-1862
DOI: 10.1007/s11425-016-0300-6