Global convergence enhancement of classical linesearch interior point methods for MCPs

Authors:
Stefania Bellavia;Benedetta Morini
Affiliations:
Dipartimento di Energetica "S. Stecco", University of Florence, via C. Lombroso 6/17, 50134 Florence, Italy;Dipartimento di Energetica "S. Stecco", University of Florence, via C. Lombroso 6/17, 50134 Florence, Italy
Venue:
Journal of Computational and Applied Mathematics
Year:
2003

Citing 17
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Abstract

Recent works have shown that a wide class of globally convergent interior point methods may manifest a weakness of convergence. Failures can be ascribed to the procedure of linesearch along the Newton step. In this paper, we introduce a globally convergent interior point method which performs backtracking along a piecewise linear path. Theoretical and computational results show the effectiveness of our proposal.