A feasible QP-free algorithm combining the interior-point method with active set for constrained optimization

Authors:
Jin-bao Jian;Ran Quan;Wei-xin Cheng
Affiliations:
College of Mathematics and Information Science, Guangxi University, Nanning, Guangxi, 530004, PR China;College of Electrical Engineering, Guangxi University, PR China;College of Mathematics and Information Science, Henan Normal University, PR China
Venue:
Computers & Mathematics with Applications
Year:
2009

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Abstract

In this paper, by means of ''working set'' technique for determining the active set and the idea of primal-dual interior-point method, a new feasible QP-free algorithm for solving inequality constrained optimization problems is presented. At each iteration, the algorithm solves only three reduced systems of linear equations with common coefficient matrix. Moreover, the initial iteration point can be at constraint boundary and the coefficient matrix is uniformly nonsingular without the strict complementarity. We also prove that the proposed algorithm obtains global and superlinear convergence. At last, preliminary numerical results are reported.