An infeasible active set method for convex problems with simple bounds
A primal-dual active set method for convex quadratic problems with bound constraints is presented. Based on a guess on the active set, a primal-dual pair $(x,s)$ is computed that satisfies the first order optimality condition and the complementarity condition. If $(x,s)$ is not feasible, a new active set is determined, and the process is iterated. … Read more