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An accurate active set Newton algorithm for large scale bound constrained optimization

Li Sun; Guoping He; Yongli Wang; Changyin Zhou

Applications of Mathematics (2011)

  • Volume: 56, Issue: 3, page 297-314
  • ISSN: 0862-7940

Abstract

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A new algorithm for solving large scale bound constrained minimization problems is proposed. The algorithm is based on an accurate identification technique of the active set proposed by Facchinei, Fischer and Kanzow in 1998. A further division of the active set yields the global convergence of the new algorithm. In particular, the convergence rate is superlinear without requiring the strict complementarity assumption. Numerical tests demonstrate the efficiency and performance of the present strategy and its comparison with some existing active set strategies.

How to cite

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Sun, Li, et al. "An accurate active set Newton algorithm for large scale bound constrained optimization." Applications of Mathematics 56.3 (2011): 297-314. <http://eudml.org/doc/116526>.

@article{Sun2011,
abstract = {A new algorithm for solving large scale bound constrained minimization problems is proposed. The algorithm is based on an accurate identification technique of the active set proposed by Facchinei, Fischer and Kanzow in 1998. A further division of the active set yields the global convergence of the new algorithm. In particular, the convergence rate is superlinear without requiring the strict complementarity assumption. Numerical tests demonstrate the efficiency and performance of the present strategy and its comparison with some existing active set strategies.},
author = {Sun, Li, He, Guoping, Wang, Yongli, Zhou, Changyin},
journal = {Applications of Mathematics},
keywords = {active set; bound constraints; Newton method; strict complementarity; active set; bound constraints; Newton method; strict complementarity},
language = {eng},
number = {3},
pages = {297-314},
publisher = {Institute of Mathematics, Academy of Sciences of the Czech Republic},
title = {An accurate active set Newton algorithm for large scale bound constrained optimization},
url = {http://eudml.org/doc/116526},
volume = {56},
year = {2011},
}

TY - JOUR
AU - Sun, Li
AU - He, Guoping
AU - Wang, Yongli
AU - Zhou, Changyin
TI - An accurate active set Newton algorithm for large scale bound constrained optimization
JO - Applications of Mathematics
PY - 2011
PB - Institute of Mathematics, Academy of Sciences of the Czech Republic
VL - 56
IS - 3
SP - 297
EP - 314
AB - A new algorithm for solving large scale bound constrained minimization problems is proposed. The algorithm is based on an accurate identification technique of the active set proposed by Facchinei, Fischer and Kanzow in 1998. A further division of the active set yields the global convergence of the new algorithm. In particular, the convergence rate is superlinear without requiring the strict complementarity assumption. Numerical tests demonstrate the efficiency and performance of the present strategy and its comparison with some existing active set strategies.
LA - eng
KW - active set; bound constraints; Newton method; strict complementarity; active set; bound constraints; Newton method; strict complementarity
UR - http://eudml.org/doc/116526
ER -

References

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