An Active Set Newton Algorithm for Large-Scale Nonlinear Programs with Box Constraints

A new algorithm for large-scale nonlinear programs with box constraints is introduced. The algorithm is based on an efficient identification technique of the active set at the solution and on a nonmonotone stabilization technique. It possesses global and superlinear convergence properties under standard assumptions. A new technique for generating test problems with known characteristics is also introduced. The implementation of the method is described along with computational results for large-scale problems.