Olaf Schenk, Andreas Wächter, et al.
COAP
We present a primal-dual interior-point algorithm with a filter line-search method for nonlinear programming. Local and global convergence properties of this method were analyzed in previous work. Here we provide a comprehensive description of the algorithm, including the feasibility restoration phase for the filter method, second-order corrections, and inertia correction of the KKT matrix. Heuristics are also considered that allow faster performance. This method has been implemented in the IPOPT code, which we demonstrate in a detailed numerical study based on 954 problems from the CUTEr test set. An evaluation is made of several line-search options, and a comparison is provided with two state-of-the-art interior-point codes for nonlinear programming.
Olaf Schenk, Andreas Wächter, et al.
COAP
Andreas Wächter, Lorenz T. Biegler
SIAM Journal on Optimization
Pierre Bonami, Lorenz T. Biegler, et al.
Discrete Optimization
Andreas Wächter
Dagstuhl Seminar Proceedings 2009