An update rule and a convergence result for a penalty function method

Regina S. Burachik; C. Yalçın Kaya

doi:10.3934/jimo.2007.3.381

Article Contents

2007, Volume 3, Issue 2: 381-398. Doi: 10.3934/jimo.2007.3.381

This issue Previous Article Optimization and dynamics of gene-environment networks with intervals Next Article Linear programming solutions of periodic optimization problems: approximation of the optimal control

An update rule and a convergence result for a penalty function method

Regina S. Burachik^1, and
C. Yalçın Kaya^2,

1.
School of Mathematics and Statistics, University of South Australia, Mawson Lakes, S.A. 5095 Australia, and Centre for Informatics and Applied Optimization, University of Ballarat, Victoria
2.
School of Mathematics and Statistics, University of South Australia, Mawson Lakes, S.A. 5095

Received: August 31, 2006

Revised: December 31, 2006

Published: March 2007

Abstract Related Papers Cited by

Abstract

We use a primal-dual scheme to devise a new update rule for a penalty function method applicable to general optimization problems, including nonsmooth and nonconvex ones. The update rule we introduce uses dual information in a simple way. Numerical test problems show that our update rule has certain advantages over the classical one. We study the relationship between exact penalty parameters and dual solutions. Under the differentiability of the dual function at the least exact penalty parameter, we establish convergence of the minimizers of the sequential penalty functions to a solution of the original problem. Numerical experiments are then used to illustrate some of the theoretical results.

Keywords:

Mathematics Subject Classification: Primary: 49M30; 49M29; 90C26; Secondary: 49M37; 90C30.

Citation:

Article Metrics

HTML views() PDF downloads(130) Cited by(0)

An update rule and a convergence result for a penalty function method

Abstract

Access History

Article Metrics

Access History

Other Articles By Authors

Catalog

An update rule and a convergence result for a penalty function method

Abstract

Access History

SHARE

Article Metrics

Access History

Other Articles By Authors

Catalog

Export File

Citation

Format

Content