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Procedures for optimization problems with a mixture of bounds and general linear constraints

Stanford University. Systems Optimization Laboratory

出版	Defense Technical Information Center, 1982
URL	http://books.google.com.hk/books?id=PeYEAAAAIAAJ&hl=&source=gbs_api

註釋

When describing active-set methods for linearly constrained optimization, it is often convenient to treat all constraints in a uniform manner. However, in many problems the linear constraints include simple bounds on the variables as well as general constraints. Special treatment of bound constraints in the implementation of an active-set method yields significant advantages in computational effort and storage requirements. In this paper, we describe how to perform the constraint-related steps of an active-set method when the constraint matrix is dense and bounds are treated separately. These steps involve updates to the TQ factorization of the working set of constraints and the Cholesky factorization of the projected Hessian (or Hessian approximation). (Author).