Large-Scale Active-Set Box-Constrained Optimization Method with Spectral Projected Gradients

Authors:
Ernesto G. Birgin;José Mario Martínez
Affiliations:
Department of Computer Science IME-USP, University of São Paulo, Rua do Matão 1010, Cidade Universitária, 05508-900, São Paulo SP, Brazil. egbirgin@ime.usp.br;Department of Applied Mathematics IMECC-UNICAMP, University of Campinas, CP 6065, 13081-970 Campinas SP, Brazil. martinez@ime.unicamp.br
Venue:
Computational Optimization and Applications
Year:
2002

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Abstract

A new active-set method for smooth box-constrained minimization is introduced. The algorithm combines an unconstrained method, including a new line-search which aims to add many constraints to the working set at a single iteration, with a recently introduced technique (spectral projected gradient) for dropping constraints from the working set. Global convergence is proved. A computer implementation is fully described and a numerical comparison assesses the reliability of the new algorithm.