Geodesic
An accurate active set Newton algorithm for large scale bound constrained optimization
Applications of Mathematics, Tome 56 (2011) no. 3, pp. 297-314

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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.
DOI : 10.1007/s10492-011-0018-z
Classification : 90C06, 90C30, 90C53
Keywords: active set; bound constraints; Newton method; strict complementarity 
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Sun, Li; He, Guoping; Wang, Yongli; Zhou, Changyin. An accurate active set Newton algorithm for large scale bound constrained optimization. Applications of Mathematics, Tome 56 (2011) no. 3, pp. 297-314. doi: 10.1007/s10492-011-0018-z

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