A Robust Primal-Dual Interior-Point Algorithm for Nonlinear Programs
A Robust Primal-Dual Interior-Point Algorithm for Nonlinear Programs
We present a primal-dual interior-point algorithm for solving optimization problems with nonlinear inequality constraints. The algorithm has some of the theoretical properties of trust region methods, but works entirely by line search. Global convergence properties are derived without assuming regularity conditions. The penalty parameter $\rho$ in the merit function is …