An active set Newton's algorithm for large-scale nonlinear programs with box constraints

Abstract

A new algorithm method for large-scale nonlinear programs with box constraints is introduced. The algorithm is based on an efficient identification technique of the active set at the solution and on a nonmonotone stabilization technique. It possesses global and superlinear convergence properties under standard, mild assumptions. A new technique for generating test problems with known characteristics is also introduced. The implementation of the method is described along with computational results for large-scale problemsAvailable from Departamento de Matematica, Universidade de Coimbra, 3000 Coimbra, Portugal / FCT - Fundação para o Ciência e a TecnologiaSIGLEPTPortuga