KNITRO-Direct: A Hybrid Interior Algorithm for Nonlinear Optimization

  • Jose Luis Morales
  • Jorge Nocedal
  • Dominique Orban
  • Richard A. Waltz
    • Categories Constrained Nonlinear Optimization, Nonlinear Optimization Tags , Short URL: https://optimization-online.org/?p=9399

    A hybrid interior-point method for nonlinear programming is presented. It enjoys the flexibility of switching between a line search based method which computes steps by factoring the primal-dual equations and an iterative method using a conjugate gradient algorithm and globalized by means of trust regions. Steps computed by a direct factorization are always tried first, but if they are deemed to be ineffective, a trust region iteration that guarantees progress toward stationarity is invoked. To demonstrate its effectiveness, the algorithm is implemented in the KNITRO software package and extensively tested on a selection of problems from the CUTEr test

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    report OTC 2003/10, Optimization Technology Center, Northwestern University

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