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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.


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.