A starting-point strategy for nonlinear interior methods

Michael Gertz, Jorge Nocedal, Annick Sartenaer

Research output: Contribution to journalArticle

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Abstract

This paper presents a strategy for choosing the initial point, slacks and multipliers in interior methods for nonlinear programming. It consists of first computing a Newton-like step to estimate the magnitude of these three variables and then shifting the slacks and multipliers so that they are sufficiently positive. The new strategy has the option of respecting the initial estimate of the solution given by the user, and attempts to avoid the introduction of artificial non-convexities. Numerical experiments on a large test set illustrate the performance of the strategy.
Original languageEnglish
Pages (from-to)945-952
Number of pages8
JournalApplied Mathematics Letters
Volume17
Publication statusPublished - 2004

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Interior Methods
Nonlinear programming
Multiplier
Non-convexity
Experiments
Test Set
Nonlinear Programming
Large Set
Estimate
Numerical Experiment
Computing
Strategy

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Gertz, Michael ; Nocedal, Jorge ; Sartenaer, Annick. / A starting-point strategy for nonlinear interior methods. In: Applied Mathematics Letters. 2004 ; Vol. 17. pp. 945-952.
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A starting-point strategy for nonlinear interior methods. / Gertz, Michael; Nocedal, Jorge; Sartenaer, Annick.

In: Applied Mathematics Letters, Vol. 17, 2004, p. 945-952.

Research output: Contribution to journalArticle

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AB - This paper presents a strategy for choosing the initial point, slacks and multipliers in interior methods for nonlinear programming. It consists of first computing a Newton-like step to estimate the magnitude of these three variables and then shifting the slacks and multipliers so that they are sufficiently positive. The new strategy has the option of respecting the initial estimate of the solution given by the user, and attempts to avoid the introduction of artificial non-convexities. Numerical experiments on a large test set illustrate the performance of the strategy.

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