关键词: 非线性规划, 路径跟踪法, 内点法, 全局收敛性

Abstract: An interior point algorithm based on large-step path following for solving constrained nonlinear programming problem is presented. To overcome the difficulty of initialization in the interior point method, an equivalent problem that incorporates an auxiliary variable is introduced. An inequality is constructed to proof the global convergence. Based on the work done before, a large-step path-following interior point algorithm is established. The proposed algorithm only requires a finite number of iterations to reach a near-optimal solution. Numerical tests are given to show feasibility of the algorithm.

Key words: global convergence, interior point method, nonlinear programming, path following method