An Adaptive Cubic Regularisation Algorithm Based on Interior-Point Methods for Optimization with General Inequality Constraints

Nonlinear constrained optimization has a wide range of practical applications. The interior-point method is considered to be one of the most powerful algorithms for solving nonlinear inequality constrained optimization. In this paper, we consider optimization with general inequality constraints and propose an Adaptive Regularisation algorithm using Cubics Based on Interior-Point methods (ARCBIP). For solving the barrier problem, we construct ARC subproblem with linearized constraints and the well-known fraction to the boundary rule that prevents slack variables from approaching their lower bounds prematurely. We employ a composite-step approach and reduced Hessian methods to deal with linearized constraints, where the trial step is decomposed into a normal step and a tangential step. They are obtained by solving two ARC subproblems approximately with the fraction to the boundary rule. Requirements on normal steps and tangential steps are given to ensure global convergence. To determine whether the trial step is accepted, we use exact penalty function as the merit function in ARC framework. The updating of the barrier parameter is implemented by adaptive strategies. Global convergence is analyzed under mild assumptions. Preliminary numerical experiments and some comparison results are reported.