A note on the implementation of an interior-point algorithm for nonlinear optimization with inexact step computations

• 成果类型: Article
• 署名作者: Curtis, Frank E.; Huber, Johannes; Schenk, Olaf; Waechter, Andreas
• 署名单位: Northwestern University; Lehigh University; University of Basel; Universita della Svizzera Italiana
• 刊物名称: MATHEMATICAL PROGRAMMING
• ISSN/ISSBN: 0025-5610
• DOI: 10.1007/s10107-012-0557-4
• 发表日期: 2012
• 页码: 209-227
• 关键词: pde-constrained optimization; krylov-schur methods

摘要

This paper describes an implementation of an interior-point algorithm for large-scale nonlinear optimization. It is based on the algorithm proposed by Curtis et al. (SIAM J Sci Comput 32:3447-3475, 2010), a method that possesses global convergence guarantees to first-order stationary points with the novel feature that inexact search direction calculations are allowed in order to save computational expense. The implementation follows the proposed algorithm, but includes many practical enhancements, such as functionality to avoid the computation of a normal step during every iteration. The implementation is included in the IPOPT software package paired with an iterative linear system solver and preconditioner provided in PARDISO. Numerical results on a large nonlinear optimization test set and two PDE-constrained optimization problems with control and state constraints are presented to illustrate that the implementation is robust and efficient for large-scale applications.