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Approximate solution of system of equations arising in interior-point methods for bound-constrained optimization
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Optimization and Systems Theory.ORCID iD: 0000-0003-1764-5449
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Optimization and Systems Theory.ORCID iD: 0000-0002-6252-7815
2021 (English)In: Computational optimization and applications, ISSN 0926-6003, E-ISSN 1573-2894, Vol. 79, no 1, p. 155-191Article in journal (Refereed) Published
Abstract [en]

The focus in this paper is interior-point methods for bound-constrained nonlinear optimization, where the system of nonlinear equations that arise are solved with Newton’s method. There is a trade-off between solving Newton systems directly, which give high quality solutions, and solving many approximate Newton systems which are computationally less expensive but give lower quality solutions. We propose partial and full approximate solutions to the Newton systems. The specific approximate solution depends on estimates of the active and inactive constraints at the solution. These sets are at each iteration estimated by basic heuristics. The partial approximate solutions are computationally inexpensive, whereas a system of linear equations needs to be solved for the full approximate solution. The size of the system is determined by the estimate of the inactive constraints at the solution. In addition, we motivate and suggest two Newton-like approaches which are based on an intermediate step that consists of the partial approximate solutions. The theoretical setting is introduced and asymptotic error bounds are given. We also give numerical results to investigate the performance of the approximate solutions within and beyond the theoretical framework. 

Place, publisher, year, edition, pages
Springer Nature , 2021. Vol. 79, no 1, p. 155-191
Keywords [en]
Approximate solution of system of linear equations, Bound-constrained optimization, Interior-point methods, Newton-like approaches, Constrained optimization, Economic and social effects, Error analysis, Iterative methods, Linear programming, Nonlinear programming, Asymptotic error bound, Bound constrained optimization, Constrained non-linear optimizations, High-quality solutions, Interior-point method, System of linear equations, System of nonlinear equations, Theoretical framework, Nonlinear equations
National Category
Computational Mathematics Control Engineering
Identifiers
URN: urn:nbn:se:kth:diva-305487DOI: 10.1007/s10589-021-00265-8ISI: 000618583600001Scopus ID: 2-s2.0-85100926817OAI: oai:DiVA.org:kth-305487DiVA, id: diva2:1615462
Note

QC 20211130

Available from: 2021-11-30 Created: 2021-11-30 Last updated: 2022-06-25Bibliographically approved

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Ek, DavidForsgren, Anders

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