-

 

 

 




Optimization Online





 

A primal-dual modified log-barrier method for inequality constrained nonlinear optimization

Joshua Griffin (joshua.griffin***at***sas.com)
Riadh Omheni (riadh.omheni***at***sas.com)

Abstract: We present a primal-dual modified log-barrier algorithm to solve inequality constrained nonlinear optimization problems. Basically, the algorithm is a Newton-like method applied to a perturbation of the optimality system that follows from a reformulation of the initial problem by introducing a modified log-barrier function to handle inequality constraints. The algorithm uses an outer/inner iteration scheme and the globalization is performed in the primal-dual space by means of a new primal-dual merit function. The robustness and efficiency of the algorithm is improved using quadratic extrapolation. The numerical performance of the new method is illustrated by comparing it with a primal-dual classical log-barrier method and two well-established interior-point solvers on two sets of problems from COPS and Hock-Schittkowski collections, including a set of problems that exhibits degeneracy.

Keywords: Nonlinear programming, Inequality constrained optimization, Modified log-barrier method, Primal-dual method, Numerical tests

Category 1: Nonlinear Optimization

Category 2: Nonlinear Optimization (Constrained Nonlinear Optimization )

Citation:

Download: [PDF]

Entry Submitted: 01/29/2020
Entry Accepted: 01/29/2020
Entry Last Modified: 03/09/2020

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 Optimization Society