Penalized interior point approach for constrained nonlinear programming |
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| Authors: | Wen-ting Lu Yi-rong Yao Lian-sheng Zhang |
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| Institution: | Department of Mathematics, College of Sciences, Shanghai University, Shanghai 200444, P. R. China |
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| Abstract: | A penalized interior point approach for constrained nonlinear programming is examined in this work. To overcome the difficulty of initialization for the interior point method, a problem equivalent to the primal problem via incorporating an auxiliary variable is constructed. A combined approach of logarithm barrier and quadratic penalty function is proposed to solve the problem. Based on Newton's method, the global convergence of interior point and line search algorithm is proven.Only a finite number of iterations is required to reach an approximate optimal solution. Numerical tests are given to show the effectiveness of the method. |
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| Keywords: | nonlinear programming interior point method barrier penalty function global convergence |
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