Abstract
Recent works have shown that a wide class of Interior Point methods employing linesearch along the Newton step may manifest a weakness of convergence. In order to alleviate such drawback, in this paper we introduce a new globalization strategy. It performs backtracking along a piecewise linear path which can be easily constructed. The proposed strategy is embedded into an Interior Point method. Computational results show that the resulting procedure is remarkably successful, shows fast local rate of convergence and low computational cost.
This research was supported by MURST, Rome,Italy, through “Cofinanziamenti Programmi di Ricerca Scientifica di Interesse Nazionale” and by GNCS, Italy.
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Bellavia, S., Morini, B. (2003). A globalization strategy for Interior Point Methods for Mixed Complementarity Problems. In: Di Pillo, G., Murli, A. (eds) High Performance Algorithms and Software for Nonlinear Optimization. Applied Optimization, vol 82. Springer, Boston, MA. https://doi.org/10.1007/978-1-4613-0241-4_4
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DOI: https://doi.org/10.1007/978-1-4613-0241-4_4
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