Adaptive Barrier Update Strategies for Nonlinear Interior Methods

@article{Nocedal2009AdaptiveBU,
  title={Adaptive Barrier Update Strategies for Nonlinear Interior Methods},
  author={Jorge Nocedal and Andreas W{\"a}chter and Richard A. Waltz},
  journal={SIAM Journal on Optimization},
  year={2009},
  volume={19},
  pages={1674-1693}
}
This paper considers strategies for selecting the barrier parameter at every iteration of an interior-point method for nonlinear programming. Numerical experiments suggest that heuristic adaptive choices, such as Mehrotra’s probing procedure, outperform monotone strategies that hold the barrier parameter fixed until a barrier optimality test is satisfied. A new adaptive strategy is proposed based on the minimization of a quality function. The paper also proposes a globalization framework that… CONTINUE READING
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