An interior-point algorithm for large-scale nonlinear optimization with inexact step computations

Abstract

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 Newton method for equality constrained optimization proposed by Curtis, Nocedal, and Wächter [SIAM J. Optim., 20 (2009), pp. 1224-1249], with additional functionality for handling nequality constraints. The algorithm is shown to be globally convergent under loose assumptions. Numerical results are presented for nonlinear optimization test set collections and a pair of PDEconstrained model problems. © 2010 Society for Industrial and Applied Mathematics.