Active-set method

In mathematical optimization, the active-set method is an algorithm used to identify the active constraints in a set of inequality constraints. The active constraints are then expressed as equality constraints, thereby transforming an inequality-constrained problem into a simpler equality-constrained subproblem.

An optimization problem is defined using an objective function to minimize or maximize, and a set of constraints

that define the feasible region, that is, the set of all x to search for the optimal solution. Given a point in the feasible region, a constraint

is called active at if , and inactive at if Equality constraints are always active. The active set at is made up of those constraints that are active at the current point (Nocedal & Wright 2006, p. 308).

The active set is particularly important in optimization theory, as it determines which constraints will influence the final result of optimization. For example, in solving the linear programming problem, the active set gives the hyperplanes that intersect at the solution point. In quadratic programming, as the solution is not necessarily on one of the edges of the bounding polygon, an estimation of the active set gives us a subset of inequalities to watch while searching the solution, which reduces the complexity of the search.

Active-set methods

In general an active-set algorithm has the following structure:

Find a feasible starting point
repeat until "optimal enough"
solve the equality problem defined by the active set (approximately)
compute the Lagrange multipliers of the active set
remove a subset of the constraints with negative Lagrange multipliers
search for infeasible constraints
end repeat

Methods that can be described as active-set methods include:[1]

References

  1. Nocedal & Wright 2006, pp. 467–480

Bibliography

  • Murty, K. G. (1988). Linear complementarity, linear and nonlinear programming. Sigma Series in Applied Mathematics. Vol. 3. Berlin: Heldermann Verlag. pp. xlviii+629 pp. ISBN 3-88538-403-5. MR 0949214. Archived from the original on 2010-04-01. Retrieved 2010-04-03.
  • Nocedal, Jorge; Wright, Stephen J. (2006). Numerical Optimization (2nd ed.). Berlin, New York: Springer-Verlag. ISBN 978-0-387-30303-1.
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