Combining search directions using gradient flows

Javier M. Moguerza and Francisco J. Prieto

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: The efficient combination of directions is a significant problem in line search methods that either use negative curvature. or wish to include additional information such as the gradient or different approximations to the Newton direction. In thls paper we describe a new procedure to combine several of these directions within an interior-point primal-dual algorithm. Basically. we combine in an efficient manner a modified Newton direction with the gradient of a merit function and a direction of negative curvature. is it exists. We also show that the procedure is well-defined. and it has reasonable theoretical properties regarding the convergence of the method. We also present numerical results from an implementation of the proposed algorithm on a set of small test problems from the CUTE collection.

Keywords: Negative; curvature; Primal-dual; methods; Interior-point; methods; Nonconvex; optimization; Line; searches (search for similar items in EconPapers)
Date: 2000-11
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:10112

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