Penalty-Barrier-Methods for Nonlinear Optimization: Implementation and Numerical Results

J. Franz, M. Liepelt, K. Schittkowski: Report, Dept. of Mathematics, University of Bayreuth (1995)
Abstract: In this paper we propose some modifications on the penalty-mutiplier method of Breitfeld and Shanno with the goal to improve numerical efficiency and reliability. The mathematical algorithm generates a sequence of bound-constrained subproblems, where the objective function is a logarithmic barrier function. The method is described in detail, moreover possible extensions to solve also large problems. The corresponding computer code is compared with the original method of Breitfeld and Shanno and a standard sequential quadratic programming code on a large number of small test problems. Numerical results indicate a significant improvement w.r.t. the competitive penalty-multiplier method and even better performance than that of an SQP method for some very ill-conditioned test problems.


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