An Active Set Method for Solving Linearly Constrained Nonsmooth Optimization Problems.

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1987

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An algorithm for solving linearly constrained optimization problems is proposed. The search direction is computed by a bundle principle and the constraints are treated through an active set strategy. Difficulties that arise when the objective function is nonsmooth require a clever choice of a constraint to relax. A certain nondegeneracy assumption is necessary to obtain convergence.

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