Projection onto a Polyhedron that Exploits Sparsity

@article{Hager2016ProjectionOA,
  title={Projection onto a Polyhedron that Exploits Sparsity},
  author={William W. Hager and Hongchao Zhang},
  journal={SIAM Journal on Optimization},
  year={2016},
  volume={26},
  pages={1773-1798}
}
An algorithm is developed for projecting a point onto a polyhedron. The algorithm solves a dual version of the projection problem and then uses the relationship between the primal and dual to recover the projection. The techniques in the paper exploit sparsity. SpaRSA (Sparse Reconstruction by Separable Approximation) is used to approximately identify active constraints in the polyhedron, and the Dual Active Set Algorithm (DASA) is used to compute a high precision solution. A linear convergence… CONTINUE READING

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