Active Sets with Finite Termination

Zdeněk Dostál ()
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Zdeněk Dostál: VŠB - Technical University Ostrava, National Super computer Center and Department of Applied Mathematics

Chapter 7 in Optimal Quadratic Programming and QCQP Algorithms with Case Studies, 2025, pp 143-157 from Springer

Abstract: Abstract First, we present the working (active) set method, which reduces the bound-constrained problem to a series of unconstrained problems solved by a direct solver. Then, we introduce the Polyak method, which implements a solution of auxiliary unconstrained problems by conjugate gradients. We show how to speed up the Polyak algorithm by “looking ahead” so it can use inexact solutions to auxiliary problems.

Date: 2025
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DOI: 10.1007/978-3-031-95167-1_7

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