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Feasible Interior Methods Using Slacks for Nonlinear Optimization

Richard H. Byrd (richard***at***cs.colorado.edu)
Jorge Nocedal (nocedal***at***ece.nwu.edu)
Richard A. Waltz (rwaltz***at***ece.nwu.edu)

Abstract: A slack-based feasible interior point method is described which can be derived as a modification of infeasible methods. The modification is minor for most line search methods, but trust region methods require special attention. It is shown how the Cauchy point, which is often computed in trust region methods, must be modified so that the feasible method is effective for problems containing both equality and inequality constraints. The relationship between slack-based methods and traditional feasible methods is discussed. Numerical results showing the relative performance of feasible versus infeasible interior point methods are presented.

Keywords: constrained optimization, interior point method, feasible method, large-scale optimization, nonlinear programming, primal-dual method, sequential quadratic programming, barrier method, trust region method

Category 1: Nonlinear Optimization (Constrained Nonlinear Optimization )

Citation: Report OTC 2000/11, Optimization Technology Center, Nov. 2000

Download: [Compressed Postscript]

Entry Submitted: 02/12/2001
Entry Accepted: 02/12/2001
Entry Last Modified: 02/12/2001

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