-

 

 

 




Optimization Online





 

Dynamic updates of the barrier parameter in primal-dual methods for nonlinear programming

P Armand (paul.armand***at***unilim.fr)
J Benoist (joel.benoist***at***unilim.fr)
D Orban (dominique.orban***at***polymtl.ca)

Abstract: We introduce a framework in which updating rules for the barrier parameter in primal-dual interior-point methods become dynamic. The original primal-dual system is augmented to incorporate explicitly an updating function. A Newton step for the augmented system gives a primal-dual Newton step and also a step in the barrier parameter. Based on local information and a linesearch, the decrease of the barrier parameter is automatically adjusted. We analyze local convergence properties, report numerical experiments on a standard collection of nonlinear problems and compare our results to a state-of-the-art interior-point implementation. In many instances, the adaptive algorithm reduces the number of iterations and of function evaluations. Its design guarantees a better fit between the magnitudes of the primal-dual residual and of the barrier parameter along the iterations.

Keywords: constrained optimization, interior point method, nonlinear programming, primal-dual method, barrier method

Category 1: Nonlinear Optimization (Constrained Nonlinear Optimization )

Citation: Rapport de recherche 2005-05 Laboratoire LACO, Universite de Limoges, France September 2005.

Download: [Postscript][PDF]

Entry Submitted: 10/03/2005
Entry Accepted: 10/03/2005
Entry Last Modified: 06/06/2006

Modify/Update this entry


  Visitors Authors More about us Links
  Subscribe, Unsubscribe
Digest Archive
Search, Browse the Repository

 

Submit
Update
Policies
Coordinator's Board
Classification Scheme
Credits
Give us feedback
Optimization Journals, Sites, Societies
Mathematical Programming Society