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Large-scale active-set box-constrained optimization method with spectral projected gradients. (English) Zbl 1031.90012
Summary: 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.

MSC:
90C06 Large-scale problems in mathematical programming
90C52 Methods of reduced gradient type
Software:
SPG; TRON
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