Active‐Set Newton Methods and Partial Smoothness

DOI10.1287/MOOR.2020.1075zbMATH Open1471.90143arXiv1902.00724OpenAlexW3113160997MaRDI QIDQ5000651FDOQ5000651

Calvin J. S. Wylie, A. S. Lewis

Publication date: 15 July 2021

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Abstract: Diverse optimization algorithms correctly identify, in finite time, intrinsic constraints that must be active at optimality. Analogous behavior extends beyond optimization to systems involving partly smooth operators, and in particular to variational inequalities over partly smooth sets. As in classical nonlinear programming, such active-set structure underlies the design of accelerated local algorithms of Newton type. We formalize this idea in broad generality as a simple linearization scheme for two intersecting manifolds.

Full work available at URL: https://arxiv.org/abs/1902.00724

zbMATH Keywords

variational inequalityactive set identificationpartial smoothness

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Sensitivity, stability, parametric optimization (90C31) Numerical methods based on necessary conditions (49M05)

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Cited In (2)

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