Olaf Schenk

A Note on the Implementation of an Interior-Point Algorithm for Nonlinear Optimization with Inexact Step Computations

  • Frank E. Curtis
  • Johannes Huber
  • Olaf Schenk
    • Categories Constrained Nonlinear Optimization Tags , , , , , , ,

    This paper describes an implementation of an interior-point algorithm for large-scale nonlinear optimization. It is based on the algorithm proposed by Curtis et al. (SIAM J Sci Comput 32:3447–3475, 2010), a method that possesses global convergence guarantees to first-order stationary points with the novel feature that inexact search direction calculations are allowed in order to … Read more

    An Interior-Point Algorithm for Large-Scale Nonlinear Optimization with Inexact Step Computations

  • Frank E. Curtis
  • Olaf Schenk
    • Categories Nonlinear Optimization, Optimization of Systems modeled by PDEs Tags , , , , , ,

    We present a line-search algorithm for large-scale continuous optimization. The algorithm is matrix-free in that it does not require the factorization of derivative matrices. Instead, it uses iterative linear system solvers. Inexact step computations are supported in order to save computational expense during each iteration. The algorithm is an interior-point approach derived from an inexact … Read more