An infeasible active set method for quadratic problems with simple bounds

被引：35

作者：

Kunisch, K ^{[1
]}

Rendl, F

机构：

[1] Graz Univ, Inst Math, A-8010 Graz, Austria

[2] Univ Klagenfurt, Inst Math, A-9020 Klagenfurt, Austria

来源：

SIAM JOURNAL ON OPTIMIZATION | 2003年 / 14卷 / 01期

关键词：

primal-dual active set method; convex programming;

D O I：

10.1137/S1052623400376135

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

A primal-dual active set method for quadratic problems with bound constraints is presented. Based on a guess on the active set, a primal-dual pair (x, s) is computed that satisfies the first order optimality condition and the complementarity condition. If (x, s) is not feasible, a new active set is determined, and the process is iterated. Sufficient conditions for the iterations to stop in a finite number of steps with an optimal solution are provided. Computational experience indicates that this approach often requires only a few (less than 10) iterations to find the optimal solution.

引用

页码：35 / 52

页数：18

共 16 条

[1] Primal-dual strategy for constrained optimal control problems [J].