ISSN:
1573-2878
Keywords:
mathematical programming
;
interior-point methods
;
inexact Newton methods
;
global convergence
Source:
Springer Online Journal Archives 1860-2000
Topics:
Mathematics
Notes:
Abstract Interior-point methods have been developed largely for nonlinear programming problems. In this paper, we generalize the global Newton interior-point method introduced in Ref. 1 and we establish a global convergence theory for it, under the same assumptions as those stated in Ref. 1. The generalized algorithm gives the possibility of choosing different descent directions for a merit function so that difficulties due to small steplength for the perturbed Newton direction can be avoided. The particular choice of the perturbation enables us to interpret the generalized method as an inexact Newton method. Also, we suggest a more general criterion for backtracking, which is useful when the perturbed Newton system is not solved exactly. We include numerical experimentation on discrete optimal control problems.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1023/A:1004624721836
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