Assessing the Potential of Interior Methods for Nonlinear Optimization

J.-L. Morales, J. Nocedal, R. Waltz, G. Liu, J.-P. Goux

A series of numerical experiments with interior point (LOQO, KNITRO) and active-set SQP codes (SNOPT, filterSQP) are reported and analyzed. The tests were performed with small, medium-size and moderately large problems, and are examined by problem classes. Detailed observations on the performance of the codes, and several suggestions on how to improve them are presented. Overall, interior methods appear to be strong competitors of active-set SQP methods, but all codes show room for improvement.

Report OTC 2001/4, Optimization Technology Center, Northwestern University, March, 2001