Active set and interior methods for nonlinear optimization

DOI10.4171/DMS/1-3/64MaRDI QIDQ1126864zbMATH OpenFDO

Authors R. H. Byrd, Jorge Nocedal

Publication date 6 August 1998

Published in Documenta Mathematica (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/227152, http://www.emis.de/journals/DMJDMV/xvol-icm/17/Nocedal.MAN.html

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zbMATH Keywords

active set methodinterior point methodlarge scale optimizationnonlinear optimizationnonlinear programming

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Large-scale problems in mathematical programming (90C06) Nonlinear programming (90C30)

Review text

The authors discuss several fundamental questions concerning the problem of minimizing a nonlinear function subject to a set of inequality constraints. They consider the following important problem: What makes the problem intrinsically difficult to solve, and which characterizations of the solution make its solution more tractable? This leads to a discussion of two important methods of solution: active set and interior points. The authors make a critical assessment of the two approaches, and describe the main issues that must be resolved to make them effective in the solution of very large problems.

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(8)

• On the use of piecewise linear models in nonlinear programming
• Active-set prediction for interior point methods using controlled perturbations
• A comparison of a Moreau-Yosida-based active set strategy and interior point methods for constrained optimal control problems
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• An active set strategy based on the multiplier function or the gradient.
• On the use of outer approximations as an external active set strategy
• An active set strategy for solving optimization problems with up to 200,000,000 nonlinear constraints

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