Partial spectral projected gradient method with active-set strategy for linearly constrained optimization

Autor(es)

Andretta, Marina ^[1] ; Birgin, Ernesto G. ^[1] ; Martinez, J. M. ^[2]

Afiliação do(s) autor(es)

^[1] Univ Sao Paulo, Inst Math & Stat, Dept Comp Sci, BR-05508090 Sao Paulo - Brazil

^[2] Univ Estadual Campinas, IMEC, Dept Appl Math, BR-13081970 Campinas, SP - Brazil

• Tipo de documento: Artigo Científico
• Fonte: NUMERICAL ALGORITHMS; v. 53, n. 1, p. 23-52, JAN 2010.
• Citações Web of Science: 7

Resumo

A method for linearly constrained optimization which modifies and generalizes recent box-constraint optimization algorithms is introduced. The new algorithm is based on a relaxed form of Spectral Projected Gradient iterations. Intercalated with these projected steps, internal iterations restricted to faces of the polytope are performed, which enhance the efficiency of the algorithm. Convergence proofs are given and numerical experiments are included and commented. Software supporting this paper is available through the Tango Project web page: http://www.ime.usp.br/similar to egbirgin/tango/. (AU)

• Processo FAPESP: 06/53768-0 - Métodos computacionais de otimização
• Beneficiário: José Mário Martinez Perez
• Modalidade de apoio: Auxílio à Pesquisa - Temático