Dual active sets and constrained optimization

Two dual methods for solving constrained optimization problems are presented: the Dual Active Set algorithm and an algorithm combining an unconstrained minimization scheme, an augmented Lagrangian and multiplier updates. A new preconditioner is introduced that has a significant impact on the speed of convergence.This research was supported by US Army Research Office Contract DAAL03-89-G-0082, and by National Science Foundation Grant DMS-9022899.