The Primal-Dual Active Set Method for a Class of Nonlinear Problems with -Monotone Operators

Algorithm 1

The primal-dual active set method.

Step 1. Initialize and . Set .

Step 2. Determine the active and inactive sets by

,

and .

Step 3. Let and be the solution of the nonlinear system

,

,

,

Step 4. If and , then stop. Otherwise set and return to Step 2.