Active-set Newton methods and partial smoothness

Adrian S. Lewis; Calvin Wylie

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arXiv · 1902.00724

Active-set Newton methods and partial smoothness

Adrian S. Lewis·Calvin Wylie

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Abstract

Diverse optimization algorithms correctly identify, in finite time, intrinsic constraints that must be active at optimality. Analogous behavior extends beyond optimization to systems involving partly smooth operators, and in particular to variational inequalities over partly smooth sets. As in classical nonlinear programming, such active-set structure underlies the design of accelerated local algorithms of Newton type. We formalize this idea in broad generality as a simple linearization scheme for two intersecting manifolds.

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Adrian S. Lewis, Calvin Wylie. 2019-02-02. Active-set Newton methods and partial smoothness. https://arxiv.org/abs/1902.00724

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