Dual Active Sets and constrained optimization

Dual Active Sets and constrained optimization

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Article ID: iaor19941165
Country: Switzerland
Volume: 43
Issue: 1/4
Start Page Number: 219
End Page Number: 228
Publication Date: Oct 1993
Journal: Annals of Operations Research
Authors:
Abstract:

Two dual methods for solving constrained optimization problems are presented: the Dual Active Set algorithm and an algorithm combining an unconstrained minimization scheme, an augmented Lagrangean and multiplier updates. A new preconditioner is introduced that has a significant impact on the speed of convergence.

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