An inexact Newton method combined with Hestenes multipliers' scheme for the solution of Karush-Kuhn-Tucker systems

In this work a Newton interior-point method for the solution of Karush-Kuhn-Tucker systems is presented. A crucial feature of this iterative method is the solution, at each iteration, of the inner subproblem. This subproblem is a linear-quadratic programming problem, that can solved approximately by an inner iterative method such as the Hestenes multipliers' method. A deep analysis on the choices of the parameters of the method (perturbation and damping parameters) has been done. The global convergence of the Newton interior-point method is proved when it is viewed as an inexact Newton method for the solution of nonlinear systems with restriction on the sign of some variables. The Newton interior-point method is numerically evaluated on large scale test problems arising from elliptic optimal control problems which show the effectiveness of the approach. (c) 2004 Elsevier Inc. All rights reserved.