Assessing the Potential of Interior Methods for Nonlinear Optimization

J.L Morales (moralesece.nwu.edu)
J. Nocedal (nocedalece.nwu.edu)
R. Waltz (rwaltzece.nwu.edu)
Liu G. (u176875yahoo.com)
J.P Goux (jean-pierre.gouxartelys.com)

Abstract: A series of numerical experiments with interior point (LOQO, KNITRO) and active-set SQP codes (SNOPT, filterSQP) are reported and analyzed. The tests were performed with small, medium-size and moderately large problems, and are examined by problem classes. Detailed observations on the performance of the codes, and several suggestions on how to improve them are presented. Overall, interior methods appear to be strong competitors of active-set SQP methods, but all codes show room for improvement.

Keywords: interior point methods, barrier methods, sequential quadratic programming, large scale nonlinear optimization

Category 1: Nonlinear Optimization (Constrained Nonlinear Optimization )

Category 2: Optimization Software and Modeling Systems (Optimization Software Benchmark )

Citation: Report OTC 2001/4, Optimization Technology Center, Northwestern University, March, 2001

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Entry Submitted: 03/09/2001
Entry Accepted: 03/09/2001
Entry Last Modified: 03/09/2001

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