An adaptive cubic regularisation algorithm based on interior point methods for solving nonlinear inequality constrained optimization

TL;DR

This paper introduces an adaptive cubic regularisation algorithm based on interior point methods for efficiently solving large-scale nonlinear inequality constrained optimization problems, with proven convergence and promising preliminary results.

Contribution

It proposes a novel ARCBIP algorithm combining cubic regularisation, interior point methods, and adaptive strategies for barrier parameter updating, enhancing solution robustness.

Findings

Global convergence under mild assumptions.

Effective handling of linearized constraints with composite-step approach.

Preliminary numerical experiments show promising results.

Abstract

Nonlinear constrained optimization has a wide range of practical applications. In this paper, we consider nonlinear optimization with inequality constraints. The interior point method is considered to be one of the most powerful algorithms for solving large-scale nonlinear inequality constrained optimization. We propose an adaptive regularisation algorithm using cubics based on interior point methods (ARCBIP) for solving nonlinear inequality constrained optimization. For solving the barrier problem, we construct ARC subproblem with linearized constraints and the well-known fraction to the boundary rule that prevents slack variables from approaching their lower bounds prematurely. The ARC subproblem in ARCBIP can avoid incompatibility of the intersection of linearized constraints with trust-region bounds in trust-region methods. We employ composite-step approach and reduced Hessian methods to deal with linearized constraints, where the trial step is decomposed into a normal step and a tangential step. They are obtained by solving two standard ARC subproblems approximately with the fraction to the boundary rule. Requirements on normal steps and tangential steps are given to ensure global convergence. To determine whether the trial step is accepted, we use exact penalty function as the merit function in ARC framework. The updating of the barrier parameter is implemented by adaptive strategies. Global convergence is analyzed under mild assumptions. Preliminary numerical experiments and some comparison results are reported.