Failure of Global Convergence for a Class of Interior Point Methods for Nonlinear Programming

Andreas Wächter and Lorenz T. Biegler

Using a simple analytical example, we demonstrate that a class of interior point methods for general nonlinear programming, including some current methods, is not globally convergent. It is shown that those algorithms do produce limit points that are neither feasible nor stationary points of some measure of the constraint violation, when applied to a well-posed problem.

CAPD Technical Report B-99-07, Department of Chemical Engineering, Carnegie Mellon University, Pittsburgh, PA 15213, USA (December 1999)

Contact: andreasw@andrew.cmu.edu


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