Practical implementation of an interior point nonmonotone line search filter method

Authors:
M. Fernanda P. Costa;Edite M. G. P. Fernandes
Affiliations:
Mathematics for Science and Technology Department, University of Minho, Portugal;Production and Systems Department, University of Minho, Braga, Portugal
Venue:
International Journal of Computer Mathematics - Recent Advances in Computational and Applied Mathematics in Science and Engineering
Year:
2008

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Abstract

Here we present a primal-dual interior point nonmonotone line search filter method for nonlinear programming. The filter relies on three measures, the feasibility, the centrality and the optimality presented in the optimality conditions, and considers relaxed acceptability criteria for the step size and includes a feasibility restoration phase. Evaluation of the method has, until now, been made on small problems and a comparison is provided with a merit function approach.