Analysis and design of an active-set method for box-constrained optimization

Author(s)

Jan Marcel Paiva Gentil

• Document type: Master's Dissertation
• Press: São Paulo.
• Institution: Universidade de São Paulo (USP). Instituto de Matemática e Estatística (IME/SBI)
• Defense date: 2010-06-23

Examining board members

Ernesto Julian Goldberg Birgin; Marina Andretta; José Mario Martinez Perez

• Advisor: Ernesto Julian Goldberg Birgin

Abstract

Box-constrained optimization problems are of great importance not only for naturally arising in several real-life problems formulation, but also for their occurrence as sub-problems in both penalty and Augmented Lagrangian methods for solving nonlinear programming problems. This work aimed at studying a recently introduced active-set method for box-constrained optimization called ASA and comparing it to the latest version of GENCAN, which is also an active-set method. For that purpose, we designed a robust and thorough testing methodology intended to remedy many of the widely criticized aspects of prior works. Thereby, we could draw conclusions leading to GENCAN\'s further development, as it later became evident by means of the same methodology herein proposed. (AU)