A new exact penalty function

Waltraud Huyer (Waltraud.Huyerunivie.ac.at)
Arnold Neumaier (Arnold.Neumaierunivie.ac.at)

Abstract: For constrained smooth or nonsmooth optimization problems, new continuously differentiable penalty functions are derived. They are proved exact in the sense that under some nondegeneracy assumption, local optimizers of a nonlinear program are precisely the optimizers of the associated penalty function. This is achieved by augmenting the dimension of the program by a variable that controls both the weight of the penalty terms and the regularization of the nonsmooth terms.

Keywords: constrained optimization, nonlinear programming, nonsmooth optimization, exact penalty function, Mangasarian--Fromovitz condition, augmented Lagrangian

Category 1: Convex and Nonsmooth Optimization (Nonsmooth Optimization )

Category 2: Nonlinear Optimization (Constrained Nonlinear Optimization )

Citation: http://www.mat.univie.ac.at/+AH4-neum/papers.html#penalty

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Entry Submitted: 06/19/2002
Entry Accepted: 06/19/2002
Entry Last Modified: 06/19/2002

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