Tuesday, 14:15 - 14:40 h, Room: H 0110


Wenwen Zhou
Numerical experience of a primal-dual active set method and its improvement

Coauthor: Joshua Griffin


SAS has recently developed and implemented a multi-threaded Krylov-based active set method based on the exact primal dual augmented Lagrangian merit function of P. E. Gill and D. Robinson [1] for large-scale nonconvex optimization. The merit function has several attractive properties, including a dual regularization term that effectively relaxes restrictions for what preconditioner types can be used with the corresponding Newton equations. Numerical experience and strategies for improving convergence for this approach will be reported in this talk.

  1. P. E. Gill and D. P. Robinson, A Primal Dual Augmented Lagrangian, Department of Mathematics, University of California San Diego. Numerical Analysis Report 08-2.


Talk 3 of the invited session Tue.2.H 0110
"Nonlinear optimization V" [...]
Cluster 16
"Nonlinear programming" [...]


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