An Implementation of an Interior Point Algorithm for Nonlinear Optimization Combining line Search and Trust Region Steps

Please enable javascript in your browser.

Khajuei Jahromi, Mona | 2012

1176 Viewed

Type of Document: M.Sc. Thesis
Language: Farsi
Document No: 43080 (02)
University: Sharif University of Technology
Department: Mathematical Sciences
Advisor(s): Mahdavi-Amiri, Nezamoddin
Abstract:
An interior point method for nonlinear programming problem recently proposed by Waltz, Morales, Nocedal and Orban is described and implemented [2].The steps are computed by line search based on the primal-dual equations, or trust region based on the conjugate gradient iteration. Steps computed by line search are tried first, but if they are determinded to be ineffective, a trust region iteration that guarantees progress toward a stationary point is used. In order to reduce the calculations, here we propose some modifications. The algorithms are implemented and the programs are tested on a variety of problems. Numerical results based on Dolan-More’ confirm the effectiveness of the algorithms
Keywords:
Nonlinear Optimization ; Interior Point Method ; Line Search ; Trust Region ; Conjuagate Gradient Method