An active set algorithm for nonlinear optimization with polyhedral constraints

被引：15
|
作者：
Hager, William W. [1 ]
Zhang Hongchao [2 ]
机构：
[1] Univ Florida, Dept Math, Gainesville, FL 32611 USA
[2] Louisiana State Univ, Dept Math, Baton Rouge, LA 70803 USA
来源：
SCIENCE CHINA-MATHEMATICS | 2016年 / 59卷 / 08期
基金：
美国国家科学基金会;
关键词：
polyhedral constrained optimization; active set algorithm; PASA; gradient projection algorithm; local and global convergence; TRUST REGION ALGORITHMS; POINT NEWTON METHODS; SIMPLE BOUNDS; STRICT COMPLEMENTARITY; NONCONVEX MINIMIZATION; PROGRAMMING PROBLEMS; QUADRATIC PROGRAMS; GLOBAL CONVERGENCE; BOX CONSTRAINTS; INTERIOR;
D O I：
10.1007/s11425-016-0300-6
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
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.
引用
收藏
页码：1525 / 1542
页数：18
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