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Interior-point ℓ2-penalty methods for nonlinear programming with strong global convergence properties

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Abstract

We propose two line search primal-dual interior-point methods for nonlinear programming that approximately solve a sequence of equality constrained barrier subproblems. To solve each subproblem, our methods apply a modified Newton method and use an ℓ2-exact penalty function to attain feasibility. Our methods have strong global convergence properties under standard assumptions. Specifically, if the penalty parameter remains bounded, any limit point of the iterate sequence is either a Karush-Kuhn-Tucker (KKT) point of the barrier subproblem, or a Fritz-John (FJ) point of the original problem that fails to satisfy the Mangasarian-Fromovitz constraint qualification (MFCQ); if the penalty parameter tends to infinity, there is a limit point that is either an infeasible FJ point of the inequality constrained feasibility problem (an infeasible stationary point of the infeasibility measure if slack variables are added) or a FJ point of the original problem at which the MFCQ fails to hold. Numerical results are given that illustrate these outcomes.

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Authors and Affiliations

  1. IEOR Department, Columbia University, New York, NY, 10027, USA

    L. Chen & D. Goldfarb

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  1. L. Chen
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  2. D. Goldfarb
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Correspondence to D. Goldfarb.

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Research supported by the Presidential Fellowship of Columbia University.

Research supported in part by NSF Grant DMS 01-04282, DOE Grant DE-FG02-92EQ25126 and DNR Grant N00014-03-0514.

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Chen, L., Goldfarb, D. Interior-point ℓ2-penalty methods for nonlinear programming with strong global convergence properties. Math. Program. 108, 1–36 (2006). https://doi.org/10.1007/s10107-005-0701-5

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