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An active set method for solving linearly constrained nonsmooth optimization problems

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Abstract

An algorithm for solving linearly constrained optimization problems is proposed. The search direction is computed by a bundle principle and the constraints are treated through an active set strategy. Difficulties that arise when the objective function is nonsmooth, require a clever choice of a constraint to relax. A certain nondegeneracy assumption is necessary to obtain convergence.

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Authors and Affiliations

  1. Electrical Engineering Department, University of Maryland, 20742, College Park, MO, USA

    Eliane R. Panier

  2. Systems Research Center, University of Maryland, 20742, College Park, MO, USA

    Eliane R. Panier

Authors
  1. Eliane R. Panier
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Additional information

Most of this research was performed when the author was with I.N.R.I.A. (Domaine de Voluceau-Rocquencourt, B.P. 105, 78153 Le Chesnay Cédex, France).

This research was supported in part by the National Science Foundation, Grants No. DMC-84-51515 and OIR-85-00108.

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Panier, E.R. An active set method for solving linearly constrained nonsmooth optimization problems. Mathematical Programming 37, 269–292 (1987). https://doi.org/10.1007/BF02591738

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  • DOI: https://doi.org/10.1007/BF02591738

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