Groupe d’études et de recherche en analyse des décisions

G-2005-80

Interpretation of Nonlinear Interior Methods as Damped Newton Methods

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We propose a unified framework for the update of the barrier parameter in interiorpoint 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.

, 30 pages