Title:
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Interior point methods for nonlinear programming and application to mixed integer nonlinear programming
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The main objectives of this thesis are (i) to develop primal-dual interior point
algorithms for solving Nonlinear Programming (NLP) problems (ii) to develop a
branch and cut algorithm for solving 0-1 Mixed Integer Nonlinear Programming
(MINLP) problems and (iii) the application of the interior point algorithms to
solve the NLP problems arising during the solution process of a 0-1 MINLP
problem.
Two primal-dual interior point algorithms are developed for solving NLP problems
with both equality and inequality constraints. In the first algorithm the
perturbed optimality conditions of the initial problem are solved by using a quasi-
Newton method. The descent property of the search direction is established for
a penalty-barrier merit function, based on an approximation of Fletcher's exact
and differentiable penalty function.
In the second algorithm, an equivalent problem is formulated with the equality
constraints incorporated into the objective by means of the quadratic penalty
function. The inequality constraints are also included into the objective by means
of the logarithmic barrier function. The optimality conditions of the transformed
problem are solved by using a quasi-Newton method. The descent property of
the search direction is ensured for a merit function, using an adaptive strategy
to determine the penalty parameter.
Global convergence of both interior point algorithms is achieved through line
search procedures that ensure the monotonic decrease of the corresponding merit
function. Numerical results demonstrate the efficient performance of both algorithms
for a variety of test problems.
A branch and cut algorithm is also developed for solving 0-1 MINLP problems.
The algorithm integrates Branch and Bound, Outer Approximation and
Gomory Cutting Planes. Only the initial Mixed Integer Linear Programming
(MILP) master problem is considered. At integer solutions NLP problems are
solved, using the primal-dual interior point algorithms mentioned above. The
objective and constraints are linearized at the optimum solution of those NLP
problems and the linearizations are added to all the unsolved nodes of the enumerations
tree. Also, Gomory cutting planes, which are valid throughout the
tree, are generated at selected nodes. These cuts help the algorithm to locate
integer solutions quickly and consequently improve the linear approximation of
the objective and constraints, held at the unsolved nodes of the tree. Numerical
results show that the addition of Gomory cuts can reduce the number of nodes
in the enumeration tree.
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