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Showing 1 to 3 of 3 for “"Active set method"”.
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Solutions of Inequality Constrained Spline Optimization Problems with the Active Set Method
… of this type. In particular, we develop the active set method and use it to solve these problems, emphasizing the fact that this algorithm will converge to a solution in finite iterations. Our solution will solve an open problem regarding near-interpolant spline curves. Furthermore, we …
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Forward and inverse American option pricing via a complementarity approach
… discretization schemes, a finite difference method and a finite element method, for the discretization of the complementarity systems into a collection of linear complementarity problems (LCPs). In Chapter 3, we discuss four popular existing numerical algorithms---a PSOR method, a two phase …
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Shape Calculus Applied to State-Constrained Elliptic Optimal Control Problems
… which is regarded as an equation inside the active set, is differentiated in order to obtain a control law. A geometrical splitting of the constraints is necessary to carry over this approach to the chosen model problem. The associated assertions are rigorously ensured. The subsequent …