Document Type
Article
Publication Date
8-1-2016
Abstract
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, while asymptotically PASA performs only phase two when either a nondegeneracy assumption holds, or the active constraints are linearly independent and a strong second-order sufficient optimality condition holds.
Publication Source (Journal or Book title)
Science China Mathematics
First Page
1525
Last Page
1542
Recommended Citation
Hager, W., & Zhang, H. (2016). An active set algorithm for nonlinear optimization with polyhedral constraints. Science China Mathematics, 59 (8), 1525-1542. https://doi.org/10.1007/s11425-016-0300-6