Dynamic updates of the barrier parameter in primal-dual methods for nonlinear programming
P Armand (paul.armandunilim.fr)
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.
Entry Submitted: 10/03/2005
Modify/Update this entry
|Visitors||Authors||More about us||Links|
Search, Browse the Repository
Give us feedback
|Optimization Journals, Sites, Societies|