An Active Set Algorithm for Nonlinear Optimization with Polyhedral Constraints
Optimization and Control
2016-06-08 v1
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.
Cite
@article{arxiv.1606.01992,
title = {An Active Set Algorithm for Nonlinear Optimization with Polyhedral Constraints},
author = {William W. Hager and Hongchao Zhang},
journal= {arXiv preprint arXiv:1606.01992},
year = {2016}
}