SIAM Journal on Control and Optimization, Vol.46, No.1, 14-34, 2007
Convergence of the primal-dual active set strategy for diagonally dominant systems
Sufficient conditions for global convergence of the primal-dual active set strategy for finite and infinite dimensional quadratic, as well as nonlinear optimization, problems with affine equality and inequality constraints are presented. These conditions involve diagonal dominance and cone preserving properties of the operator defining the cost functional. Globalization strategies are also provided, and specific sufficient conditions for the primal-dual active set step to have a descent property are given.
Keywords:primal-dual active set strategy;diagonally dominant systems;bilateral constraints;globalization