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- Title
A Barrier Method for Large-Scale Constrained Optimization.
- Authors
Nash, Stephen G.; Sofer, Ariela
- Abstract
A logarithmic barrier method is applied to the solution of a nonlinear programming problem with inequality constraints. An approximation to the Newton direction is derived that avoids the ill conditioning normally associated with barrier methods. This approximation can be used within a truncated-Newton method, and hence is suitable for large-scale problems; the approximation can also be used in the context of a parallel algorithm. Enhancements to the basic barrier method are described that improve its efficiency and reliability. The resulting method can be shown to be a primal-dual method when the objective function is convex and all of the constraints are linear. Computational experiments are presented where the method is applied to 1000-variable problems with bound constraints.
- Subjects
NONLINEAR programming; EQUALITY; COMPUTER algorithms; MATHEMATICAL models
- Publication
ORSA Journal on Computing, 1993, Vol 5, Issue 1, p40
- ISSN
0899-1499
- Publication type
Article
- DOI
10.1287/ijoc.5.1.40