Abstract
Two dual methods for solving constrained optimization problems are presented: the Dual Active Set algorithm and an algorithm combining an unconstrained minimization scheme, an augmented Lagrangian and multiplier updates. A new preconditioner is introduced that has a significant impact on the speed of convergence.
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This research was supported by US Army Research Office Contract DAAL03-89-G-0082, and by National Science Foundation Grant DMS-9022899.
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Hager, W.W. Dual active sets and constrained optimization. Ann Oper Res 43, 217–228 (1993). https://doi.org/10.1007/BF02025452
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DOI: https://doi.org/10.1007/BF02025452