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A primal-dual interior-point method capable of rapidly detecting infeasibility for nonlinear programs

  • *Corresponding author

    *Corresponding author 

The first draft of this paper was completed on December 2, 2014. The first author is supported by the Chinese NSF grants (nos. 11631013, 11331012 and 81173633) and the National Key Basic Research Program of China (no. 2015CB856000). The second author is supported by the Chinese NSF grants (nos. 11671116 and 11271107) and the Major Research Plan of the NSFC (no. 91630202). The third author is supported by Grant DP-160101819 of Australia Research Council

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  • With the help of a logarithmic barrier augmented Lagrangian function, we can obtain closed-form solutions of slack variables of logarithmic-barrier problems of nonlinear programs. As a result, a two-parameter primal-dual nonlinear system is proposed, which corresponds to the Karush-Kuhn-Tucker point and the infeasible stationary point of nonlinear programs, respectively, as one of two parameters vanishes. Based on this distinctive system, we present a primal-dual interior-point method capable of rapidly detecting infeasibility of nonlinear programs. The method generates interior-point iterates without truncation of the step. It is proved that our method converges to a Karush-Kuhn-Tucker point of the original problem as the barrier parameter tends to zero. Otherwise, the scaling parameter tends to zero, and the method converges to either an infeasible stationary point or a singular stationary point of the original problem. Moreover, our method has the capability to rapidly detect the infeasibility of the problem. Under suitable conditions, the method can be superlinearly or quadratically convergent to the Karush-Kuhn-Tucker point if the original problem is feasible, and it can be superlinearly or quadratically convergent to the infeasible stationary point when the problem is infeasible. Preliminary numerical results show that the method is efficient in solving some simple but hard problems, where the superlinear convergence to an infeasible stationary point is demonstrated when we solve two infeasible problems in the literature.

    Mathematics Subject Classification: Primary: 90C30, 90C51; Secondary: 90C26.

    Citation:

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  • Table 1.  Output for test problem (TP1)

    $ l $ $ f_l $ $ v_l $ $ \|\phi_l\|_{\infty} $ $ \|\psi_l\|_{\infty} $ $ \beta_l $ $ \rho_l $ $ k $
    0 5 16.6132 129.6234 129.6234 0.1000 3.3226 -
    1 0.1606 2.0205 4.8082 0.7313 0.1000 0.0972 3
    2 -0.0149 2.0002 0.0989 0.0445 0.1000 0.0020 4
    3 -0.0036 2.0000 0.0029 0.0018 0.1000 3.1595e-06 3
    4 -0.0029 2.0000 3.1674e-06 2.8185e-06 0.1000 1.0000e-09 1
    5 0.0018 2.0000 1.0011e-09 6.7212e-10 - - -
     | Show Table
    DownLoad: CSV

    Table 2.  Output for test problem (TP2)

    $ l $ $ f_l $ $ v_l $ $ \|\phi_l\|_{\infty} $ $ \|\psi_l\|_{\infty} $ $ \beta_l $ $ \rho_l $ $ k $
    0 -20 126.6501 2.8052e+03 2.8052e+03 0.1000 6.3325 -
    1 -172.5829 172.7978 1.0948e+03 6.2866 0.1000 0.8719 6
    2 0.2155 0.7149 1.4269 0.7894 0.1000 0.3895 1
    3 -0.1364 0.5550 0.3865 0.3865 0.0100 0.3895 3
    4 -0.1416 0.5223 0.2864 0.2648 0.0100 0.1512 1
    5 -0.1472 0.5140 0.1446 0.1446 0.0100 0.0209 4
    6 -0.1997 0.4472 0.0084 0.0016 0.0100 2.6880e-06 3
    7 -0.1999 0.4472 2.4923e-06 2.4923e-06 0.0100 1.0000e-09 1
    8 -0.1999 0.4472 9.2732e-10 9.2732e-10 - - -
     | Show Table
    DownLoad: CSV

    Table 3.  Output for test problem (TP4)

    $ l $ $ f_l $ $ v_l $ $ \|\phi_l\|_{\infty} $ $ \|\psi_l\|_{\infty} $ $ \beta_l $ $ \rho_l $ $ k $
    0 20 2.8284 9.9557 9.9557 0.1000 1 -
    1 0.2305 0.4167 0.8900 0.7008 0.0100 1 4
    2 0.1652 0.1687 0.1631 0.0771 0.0100 0.3268 4
    3 0.1690 0.1630 0.0503 0.0022 0.0100 4.7328e-06 1
    4 0.8561 2.9531e-04 3.1379e-06 3.1379e-06 0.0100 1.0000e-09 14
    5 0.9028 1.2372e-04 9.3463e-08 9.3463e-08 - - -
     | Show Table
    DownLoad: CSV

    Table 4.  The last $ 4 $ inner iterations corresponding to $ l = 4 $ for test problem (TP4)

    $ k $ $ f_k $ $ v_k $ $ \|\phi_k\|_{\infty} $ $ \|\psi_k\|_{\infty} $ $ x_{k1} $ $ x_{k2} $
    11 0.8500 5.7136e-04 5.6703e-04 5.6703e-04 1.0780 0.0001
    12 0.8548 3.0434e-04 1.2222e-05 1.2222e-05 1.0754 -0.0002
    13 0.8556 2.9845e-04 6.2125e-06 6.2125e-06 1.0750 -0.0002
    14 0.8561 2.9531e-04 3.1379e-06 3.1379e-06 1.0747 -0.0002
     | Show Table
    DownLoad: CSV
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