An augmented lagrangian interior point method using diretions of negative curvature

Javier M. Moguerza and Francisco J. Prieto

UC3M Working papers. Economics from Universidad Carlos III de Madrid. Departamento de Economía

Abstract: We describe an efficient implementation of an interior-point algorithm for non-convex problems that uses directions of negative curvature. These directions should ensure convergence to second-order KKT points and improve the computational efficiency of the procedure. Some relevant aspects of the implementation are the strategy to combine a direction of negative curvature and a modified Newton direction, and the conditions to ensure feasibility of the iterates with respect to the simple bounds. The use of multivariate barrier and penalty parameters is also discussed, as well as the update rules for these parameters. Finally, numerical results on a set oftest problems are presented.

Keywords: Primal-dual; methods; Nonconvex; optimization; Line; searches (search for similar items in EconPapers)
Date: 2000-05
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:cte:werepe:9919

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