IP-PCG

IP-PCG is a C++ software designed to solve large-scale Nonlinear Programming Problems (NLP). It employs a Newton inexact interior point algorithm [1, 2, 3, 4] with a line search strategy based on the Eisenstat and Walker rule, even in the nonmonotone case [5]. At each step of the interior point algorithm, a perturbation of the Newton equation is solved by the Preconditioned Conjugate Gradient (PCG) method, with a suitable indefinite preconditioner [6, 7, 8]. The preconditioner is factorized in a Cholesky like form by means of the BLKFCLT routine. The currently implemented IP-PCG is provided of a partial AMPL interface