Abstract
A new iterative algorithm based on the inexact-restoration (IR) approach combined with the filter strategy to solve nonlinear constrained optimization problems is presented. The high level algorithm is suggested by Gonzaga et al. (SIAM J. Optim. 14:646–669, 2003) but not yet implement—the internal algorithms are not proposed. The filter, a new concept introduced by Fletcher and Leyffer (Math. Program. Ser. A 91:239–269, 2002), replaces the merit function avoiding the penalty parameter estimation and the difficulties related to the nondifferentiability. In the IR approach two independent phases are performed in each iteration, the feasibility and the optimality phases. The line search filter is combined with the first one phase to generate a “more feasible” point, and then it is used in the optimality phase to reach an “optimal” point.
Numerical experiences with a collection of AMPL problems and a performance comparison with IPOPT are provided.
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Silva, C.E.P., Monteiro, M.T.T. A filter inexact-restoration method for nonlinear programming. TOP 16, 126–146 (2008). https://doi.org/10.1007/s11750-008-0038-3
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DOI: https://doi.org/10.1007/s11750-008-0038-3