Publication:
An augmented lagrangian interior point method using diretions of negative curvature

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URI: https://hdl.handle.net/10016/9919
ISSN: 2340-5031
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we0036.pdf (321.15 KB)
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2000-05
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Abstract
We describe an efficient implementation of an interior-point algorithm for non-convex problems that uses directions of negative curvature. These directions should ensure convergence to second-order KKT points and improve the computational efficiency of the procedure. Some relevant aspects of the implementation are the strategy to combine a direction of negative curvature and a modified Newton direction, and the conditions to ensure feasibility of the iterates with respect to the simple bounds. The use of multivariate barrier and penalty parameters is also discussed, as well as the update rules for these parameters. Finally, numerical results on a set oftest problems are presented.
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Primal-dual methods, Nonconvex optimization, Line searches
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DE - Working Papers. Economics. WE
Economists Online