Accession Number : ADA115854

Title :   Procedures for Optimization Problems with a Mixture of Bounds and General Linear Constraints.

Descriptive Note : Technical rept.,


Personal Author(s) : Gill,Philip E ; Murray,Walter ; Saunders,Michael A ; Wright,Margaret H

PDF Url : ADA115854

Report Date : May 1982

Pagination or Media Count : 18

Abstract : 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)

Descriptors :   *Optimization, *Operations research, Linearity, Systems analysis, Matrices(Mathematics), Factor analysis, Computer programs, Orthogonality, Limitations, Variables, Storage, Requirements

Subject Categories : Statistics and Probability
      Operations Research

Distribution Statement : APPROVED FOR PUBLIC RELEASE