Optimality Measures for Performance Profiles

TitleOptimality Measures for Performance Profiles
Publication TypeReport
Year of Publication2004
AuthorsDolan, ED, More', JJ, Munson, TS
Series TitleSIAM J. Optimization
Date Published05/2004
InstitutionSociety for Industrial and Applied Mathematics
Other NumbersANL/MCS-P1155-0504

We examine the importance of optimality measures when benchmarking a set of solvers, and show that scaling requirements lead to a convergence test for nonlinearly constrained optimization solvers that uses a mixture of absolute and relative error measures. We demonstrate that this convergence test is well behaved at any point where the constraints satisfy the Mangasarian-Fromovitz constraint qualification and also avoids the explicit use of a complementarity measure. Computational experiments explore the impact of this convergence test on the benchmarking process with performance profiles.