A Primal-Dual Augmented Lagrangian Penalty-Interior-Point Filter Line Search Algorithm

Interior-point methods have been shown to be very efficient for large-scale nonlinear programming. The combination with penalty methods increases their robustness due to the regularization of the constraints caused by the penalty term. In this paper a primal-dual penalty-interior-point algorithm is proposed, that is based on an augmented Lagrangian approach with an l2-exact penalty function. … Read more