Global and Finite Termination of a Two-Phase Augmented Lagrangian Filter Method for General Quadratic Programs

@article{Friedlander2008GlobalAF,
  title={Global and Finite Termination of a Two-Phase Augmented Lagrangian Filter Method for General Quadratic Programs},
  author={Michael P. Friedlander and Sven Leyffer},
  journal={SIAM J. Scientific Computing},
  year={2008},
  volume={30},
  pages={1706-1729}
}
We present a two-phase algorithm for solving large-scale quadratic programs (QPs). In the first phase, gradient-projection iterations approximately minimize an augmented Lagrangian function and provide an estimate of the optimal active set. In the second phase, an equalityconstrained QP defined by the current inactive variables is approximately minimized in order to generate a second-order search direction. A filter determines the required accuracy of the subproblem solutions and provides an… CONTINUE READING
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