An active set algorithm for nonlinear optimization with polyhedral constraints

作者：Hager William W; Zhang Hongchao^*

来源：Science China Mathematics, 2016, 59(8): 1525-1542.

DOI：10.1007/s11425-016-0300-6

• polyhedral constrained optimization
• active set algorithm
• PASA
• gradient projection algorithm
• local and global convergence

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.

• 出版日期2016-8