A globally convergent primal-dual interior-point filter method for nonlinear programming

Detalhes bibliográficos
Autor(a) principal: Ulbrich, Michael
Data de Publicação: 2004
Outros Autores: Ulbrich, Stefan, Vicente, Luís N.
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10316/7764
https://doi.org/10.1007/s10107-003-0477-4
Resumo: In this paper, the filter technique of Fletcher and Leyffer (1997) is used to globalize the primal-dual interior-point algorithm for nonlinear programming, avoiding the use of merit functions and the updating of penalty parameters. The new algorithm decomposes the primal-dual step obtained from the perturbed first-order necessary conditions into a normal and a tangential step, whose sizes are controlled by a trust-region type parameter. Each entry in the filter is a pair of coordinates: one resulting from feasibility and centrality, and associated with the normal step; the other resulting from optimality (complementarity and duality), and related with the tangential step. Global convergence to first-order critical points is proved for the new primal-dual interior-point filter algorithm.
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spelling A globally convergent primal-dual interior-point filter method for nonlinear programmingIn this paper, the filter technique of Fletcher and Leyffer (1997) is used to globalize the primal-dual interior-point algorithm for nonlinear programming, avoiding the use of merit functions and the updating of penalty parameters. The new algorithm decomposes the primal-dual step obtained from the perturbed first-order necessary conditions into a normal and a tangential step, whose sizes are controlled by a trust-region type parameter. Each entry in the filter is a pair of coordinates: one resulting from feasibility and centrality, and associated with the normal step; the other resulting from optimality (complementarity and duality), and related with the tangential step. Global convergence to first-order critical points is proved for the new primal-dual interior-point filter algorithm.2004info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlehttp://hdl.handle.net/10316/7764http://hdl.handle.net/10316/7764https://doi.org/10.1007/s10107-003-0477-4engMathematical Programming. 100:2 (2004) 379-410Ulbrich, MichaelUlbrich, StefanVicente, Luís N.info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2021-11-09T10:31:32Zoai:estudogeral.uc.pt:10316/7764Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T21:00:45.066809Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv A globally convergent primal-dual interior-point filter method for nonlinear programming
title A globally convergent primal-dual interior-point filter method for nonlinear programming
spellingShingle A globally convergent primal-dual interior-point filter method for nonlinear programming
Ulbrich, Michael
title_short A globally convergent primal-dual interior-point filter method for nonlinear programming
title_full A globally convergent primal-dual interior-point filter method for nonlinear programming
title_fullStr A globally convergent primal-dual interior-point filter method for nonlinear programming
title_full_unstemmed A globally convergent primal-dual interior-point filter method for nonlinear programming
title_sort A globally convergent primal-dual interior-point filter method for nonlinear programming
author Ulbrich, Michael
author_facet Ulbrich, Michael
Ulbrich, Stefan
Vicente, Luís N.
author_role author
author2 Ulbrich, Stefan
Vicente, Luís N.
author2_role author
author
dc.contributor.author.fl_str_mv Ulbrich, Michael
Ulbrich, Stefan
Vicente, Luís N.
description In this paper, the filter technique of Fletcher and Leyffer (1997) is used to globalize the primal-dual interior-point algorithm for nonlinear programming, avoiding the use of merit functions and the updating of penalty parameters. The new algorithm decomposes the primal-dual step obtained from the perturbed first-order necessary conditions into a normal and a tangential step, whose sizes are controlled by a trust-region type parameter. Each entry in the filter is a pair of coordinates: one resulting from feasibility and centrality, and associated with the normal step; the other resulting from optimality (complementarity and duality), and related with the tangential step. Global convergence to first-order critical points is proved for the new primal-dual interior-point filter algorithm.
publishDate 2004
dc.date.none.fl_str_mv 2004
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
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status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10316/7764
http://hdl.handle.net/10316/7764
https://doi.org/10.1007/s10107-003-0477-4
url http://hdl.handle.net/10316/7764
https://doi.org/10.1007/s10107-003-0477-4
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Mathematical Programming. 100:2 (2004) 379-410
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