Please use this identifier to cite or link to this item: http://hdl.handle.net/10316/7764
Title: A globally convergent primal-dual interior-point filter method for nonlinear programming
Authors: Ulbrich, Michael 
Ulbrich, Stefan 
Vicente, Luís N. 
Issue Date: 2004
Citation: Mathematical Programming. 100:2 (2004) 379-410
Abstract: 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.
URI: http://hdl.handle.net/10316/7764
DOI: 10.1007/s10107-003-0477-4
Rights: openAccess
Appears in Collections:FCTUC Matemática - Artigos em Revistas Internacionais

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