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Zbl 1134.90542
Wächter, Andreas; Biegler, Lorenz T.
On the implementation of an interior-point filter line-search algorithm for large-scale nonlinear programming. (English)
[J] Math. Program. 106, No. 1 (A), 25-57 (2006). ISSN 0025-5610; ISSN 1436-4646/e

Summary: We present a primal-dual interior-point algorithm with a filter line-search method for nonlinear programming. Local and global convergence properties of this method were analyzed in previous work. Here we provide a comprehensive description of the algorithm, including the feasibility restoration phase for the filter method, second-order corrections, and inertia correction of the KKT matrix. Heuristics are also considered that allow faster performance. This method has been implemented in the {\tt IPOPT} code, which we demonstrate in a detailed numerical study based on 954 problems from the {\tt CUTE}r test set. An evaluation is made of several line-search options, and a comparison is provided with two state-of-the-art interior-point codes for nonlinear programming.

MSC 2000:: *90C51 Interior-point methods
90C06 Large-scale problems
90C30 Nonlinear programming

Keywords: Nonlinear programming; Nonconvex constrained optimization; Filter method; Line search; Interior-point method; Barrier method

Cited in: Zbl 1231.90342

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