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arXiv · 1606.01992

An Active Set Algorithm for Nonlinear Optimization with Polyhedral Constraints

William W. Hager·Hongchao Zhang
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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.

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William W. Hager, Hongchao Zhang. 2016-06-07. An Active Set Algorithm for Nonlinear Optimization with Polyhedral Constraints. https://doi.org/10.1007/s11425-016-0300-6

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