A Primal-Dual Interior-Point Method for Nonlinear Programming with Strong Global and Local Convergence Properties

A scheme|inspired from an old idea due to Mayne and Polak (Math. Prog., vol. 11, 1976, pp. 67{80)|is proposed for extending to general smooth constrained optimization problems a previously proposed feasible interior-point method for inequality constrained problems. It is shown that the primal-dual interior point framework allows for a signi cantly more e ective implementation of the Mayne-Polak idea than that discussed an analyzed by the originators in the context of rst order methods of feasible direction. Strong global and local convergence results are proved under mild assumptions. In particular, the proposed algorithm does not su er the Wachter-Biegler e ect.