Document Zbl 1193.90195

A new feasible descent primal-dual interior point algorithm for nonlinear inequality constrained optimization. (English) Zbl 1193.90195

Appl. Math. Modelling 34, No. 7, 1952-1963 (2010).

Summary: A new feasible primal-dual interior point algorithm for solving inequality constrained optimization problems is presented. At each iteration, the algorithm solves only two or three reduced systems of linear equations with the same coefficient matrix. The searching direction is feasible and the object function is monotone decreasing. The proposed algorithm is proved to possess global and superlinear convergence under mild conditions. Finally, some numerical experiments with the algorithm are reported.

Cited in 1 Document

MSC:

90C30	Nonlinear programming
90C51	Interior-point methods

Keywords:

constrained optimization; interior point method; working set; global convergence; superlinear convergence

Software:

SNOPT

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Full Text: DOI

References:

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