Practical implementation of an interior point nonmonotone line search filter method

Abstract

Here we present a primal-dual interior point nonmonotone line search filter method for nonlinear programming. The filter relies on three measures, the feasibility, the centrality and the optimality presented in the optimality conditions, and considers relaxed acceptability criteria for the step size and includes a feasibility restoration phase. Evaluation of the method has, until now, been made on small problems and a comparison is provided with a merit function approach.

Keywords:

• Nonlinear programming
• Interior point method
• Filter method
• Line search method
• Nonmonotone strategy

Acknowledgements

The authors would like to thank two anonymous referees for their comments and suggestions that improved the presentation of the paper.