A globally convergent primal-dual interior point algorithm for general non-linear programming
File(s)DTR97-14.pdf (311.26 KB)
Technical report
Author(s)
Akrotirianakis, Ioannis
Rustem, Berc
Type
Report
Abstract
This paper presents a primal-dual interior point algorithm for solving general constrained non-linear programming problems. The initial problem is transformed to an equivalent equality constrained problem, with inequality constraints incorporated into the objective function by means of a logarithmic barrier function. Satisfaction of the equality constraints is enforced through the incorporation of an adaptive quadratic penalty function into the objective. The penalty parameter is determined using a strategy that ensures a descent property for a merit function. It is shown that the adaptive penalty does not grow indefinitely. The algorithm applies Newton's method to solve the first order optimality conditions of the equivalent equality problem. Global convergence of the algorithm is achieved through the monotonic decrease of a merit function. Locally the algorithm is shown to be quadratically convergent.
Date Issued
1997-11-01
Citation
Departmental Technical Report: 97/14, 1997, pp.1-30
Start Page
1
End Page
30
Journal / Book Title
Departmental Technical Report: 97/14
Copyright Statement
© 1997 The Author(s). This report is available open access under a CC-BY-NC-ND (https://creativecommons.org/licenses/by-nc-nd/4.0/)
Place of Publication
Department of Computing, Imperial College London
Publication Status
Published