On the implementation of an interior-point filter line-search algorithm for large-scale nonlinear programming

Benson, H. Y., Shanno, D. F., Vanderbei, R. J.: Interior-point methods for nonconvex nonlinear programming: Filter methods and merit functions. Computational Optimization and Applications, 23 (2), 257–272 (2002)

Byrd, R. H., Gilbert, J. Ch., Nocedal, J.: A trust region method based on interior point techniques for nonlinear programming. Mathematical Programming, 89, 149–185 (2000)

Byrd, R. H., Hribar, M. E., Nocedal, J.: An interior point algorithm for large-scale nonlinear programming. SIAM Journal on Optimization, 9 (4), 877–900 (1999)

Byrd, R. H., Liu, G., Nocedal, J.: On the local behavior of an interior point method for nonlinear programming. In: Griffiths, D. F., Higham, D. J. (eds), Numerical Analysis 1997, pages 37–56. Addison–Wesley Longman, Reading, MA, USA, 1997

Chamberlain, R. M., Lemarechal, C., Pedersen, H. C., Powell, M. J. D.: The watchdog technique for forcing convergence in algorithms for constrained optimization. Mathematical Programming Study, 16, 1–17 (1982)

Conn, A. R., Gould, N. I. M., Toint, Ph. L.: LANCELOT: a Fortran package for large-scale nonlinear optimization (Release A). Number 17 in Springer Series in Computational Mathematics. Springer Verlag, Heidelberg, Berlin, New York, 1992

Conn, A. R., Gould, N. I. M., Toint, Ph. L.: Trust-Region Methods. SIAM, Philadelphia, PA, USA, 2000

Conn, A. R., Gould, N.I.M., Orban, D., Toint, Ph. L.: A primal-dual trust-region algorithm for non-convex nonlinear programming. Mathematical Programming, 87 (2), 215–249 (2000)

Dolan, E. D., Moré, J. J.: Benchmarking optimization software with performance profiles. Mathematical Programming, 91 (2), 201–213 (2002)

El-Bakry, A. S., Tapia, R. A., Tsuchiya, T., Zhang, Y.: On the formulation and theory of the Newton interior-point method for nonlinear programming. Journal of Optimization Theory and Application, 89 (3), 507–541 (1996)

Fiacco, A. V., McCormick, G. P.: Nonlinear Programming: Sequential Unconstrained Minimization Techniques. John Wiley, New York, USA, 1968 Reprinted by SIAM Publications, 1990.

Fletcher, R.: Practical Methods of Optimization. John Wiley and Sons, New York, USA, second edition, 1987

Fletcher, R., Gould, N. I. M., Leyffer, S., Toint, Ph. L., Wächter, A.: Global convergence of a trust-region SQP-filter algorithms for general nonlinear programming. SIAM Journal on Optimization, 13 (3), 635–659 (2002)

Fletcher, R., Leyffer, S.: Nonlinear programming without a penalty function. Mathematical Programming, 91 (2), 239–269 (2002)

Fletcher, R., Leyffer, S., Toint, Ph. L.: On the global convergence of a filter-SQP algorithm. SIAM Journal on Optimization, 13 (1), 44–59 (2002)

Forsgren, A., Gill, P. E., Wright, M. H.: Interior methods for nonlinear optimization. SIAM Review, 44 (4), 525–597 (2002)

Gould, N. I. M., Orban, D., Sartenaer, A., Toint, Ph. L.: Superlinear convergence of primal-dual interior point algorithms for nonlinear programming. SIAM Journal on Optimization, 11 (4), 974–1002 (2001)

Gould, N. I. M., Orban, D., Toint, Ph. L.: CUTEr (and SifDec), a constrained and unconstrained testing environment, revisited. Technical Report TR/PA/01/04, CERFACS, Toulouse, France, 2001

Harwell Subroutine Library, AEA Technology, Harwell, Oxfordshire, England. A catalogue of subroutines (HSL 2000), 2002

Nocedal, J., Wright, S.: Numerical Optimization. Springer, New York, NY, USA, 1999

Tits, A. L., Wächter, A., Bakhtiari, S., Urban, T. J., Lawrence, C. T.: A primal-dual interior-point method for nonlinear programming with strong global and local convergence properties. SIAM Journal on Optimization, 14 (1), 173–199 (2003)

Ulbrich, M., Ulbrich, S., Vicente, L. N.: A globally convergent primal-dual interior-point filter method for nonlinear programming. Mathematical Programming, 100 (2), 379–410 (2004)

Vanderbei, R. J., Shanno, D. F.: An interior-point algorithm for nonconvex nonlinear programming. Computational Optimization and Applications, 13, 231–252 (1999)

Wächter, A.: An Interior Point Algorithm for Large-Scale Nonlinear Optimization with Applications in Process Engineering. PhD thesis, Carnegie Mellon University, Pittsburgh, PA, USA, January 2002

Wächter, A., Biegler, L. T.: Failure of global convergence for a class of interior point methods for nonlinear programming. Mathematical Programming, 88 (2), 565–574 (2000)

Wächter, A., Biegler, L. T.: Line search filter methods for nonlinear programming: Motivation and global convergence. Technical Report RC 23036, IBM T.J. Watson Research Center, Yorktown Heights, USA, 2001; revised 2004. To appear in SIAM Journal on Optimization.

Waltz, R. A., Morales, J. L., Nocedal, J., Orban, D.: An interior algorithm for nonlinear optimization that combines line search and trust region steps. Technical Report OTC 6/2003, Optimization Technology Center, Northwestern University, Evanston, IL, USA. To appear in Mathematical Programming A

Waltz, R. A., Nocedal, J.: KNITRO user's manual. Technical Report OTC 2003/05, Optimization Technology Center, Northwestern University, Evanston, IL, USA, April 2003

Yamashita, H.: A globally convergent primal-dual interior-point method for constrained optimization. Optimization Methods and Software, 10, 443–469 (1998)

Yamashita, H., Yabe, H., Tanabe, T.: A globally and superlinearly convergent primal-dual interior point trust region method for large scale constrained optimization. Technical report, Mathematical System Institute, Inc., Tokyo, Japan, July 1997. Revised July 1998