约束优化问题的广义投影梯度算法分析

Analysis on Generalized Gradient Projection Method of Constrained Optimization

对非退化和退化两种情形下的不等式约束优化问题的广义投影梯度算法作了分析,发现所采用的两种不同的求解迭代方向的方法在本质上是相同的。公式法结构简单、便于计算,而在处理退化问题上线性系统求解则体现优越性。

This paper analyzes the generalized gradient projection method for inequality constrained optimization problems under both non-degeneracy and degeneracy, and finds that two methods adopted for solving the different iteration directions are the same in essence. The structure of the formula is simple and easy to compute, the linear system method is superior to the former for handling the degeneracy problem.