Interior Point Filter Line Search: IPOPT

Abstract

In this chapter, an implementation of an interior point filter line-search algorithm for large-scale nonlinear programming proposed by Wachter and Biegler (2005a, b) is presented. As we know, to allow convergence from poor starting points and to enforce progress to the solution, interior point methods both in trust region and in line-search frameworks with exact penalty merit function have been developed. For example, KNITRO uses the l 1 exact penalty function (Byrd, Hribar, & Nocedal, 1999; Byrd, Gilbert, & Nocedal, 2000). On the other hand, Fletcher and Leyffer (2002) proposed filter methods as an alternative to merit functions, as a tool for global convergence guarantee in algorithms for nonlinear optimization. The idea of filter is that trial points are accepted if they improve the objective function value or improve the constraint violation instead of a combination of these two measures defined by the merit function. Even if the filter methods include different heuristics, they have been adapted to barrier methods in a number of ways. For example, Ulbrich et al. (2004) considered a trust-region filter method and accept the trial step on the basis of the norm of the optimality conditions. Benson et al. (2002a) proposed several heuristics using the idea of filter methods, for which improved efficiency is reported compared to their previous merit function approach. The global convergence of an interior point algorithm with a filter line search was analyzed by Wachter and Biegler (2001). Here, the assumptions made for the analysis of the global convergence are less restrictive than those made for line-search interior point methods for nonlinear programming developed, for example, by El-Bakry et al. (1996), Yamashita (1998), or Tits et al. (2003).