Interpretation of nonlinear interior methods as damped Newton methods
Dominique Orban, Ecole Polytechnique de Montreal
Joint Centre for Scientific Computing and CECM Seminar
Friday October 14th, 2005 at 3:30pm in K9509.
Abstract: We propose a unified framework for the update of the barrier parameter in interior-point methods for nonlinear programming. The original primal-dual system is augmented to incorporate explicitly an updating function. We analyze local convergence properties and recover known updating strategies as special cases. We report numerical experiments on nonlinear problems and compare our results to a state-of-the-art interior-point implementation.