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1985•Journal of the Operations Research Society of JapanOpen access

ON DUAL DIFFERENTIABLE EXACT PENALTY FUNCTIONS FOR EQUALITY CONSTRAINED OPTIMIZATION

Masao Fukushima, Eiki Yamakawa, Hisashi Mine

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Abstract

This paper is concerned with a differentiable exact penalty function derived by modifying the Wolfe dual of an equality constrained problem. It may be considered that this penalty function belongs to a class of general augmented Lagrangians on which other differentiable exact penalty functions are based. It is shown that this penalty function possesses an attractive property which may be enable us to use Newton like method effectively. Some numerical results are also reported.

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What this paper is about

This paper is concerned with a differentiable exact penalty function derived by modifying the Wolfe dual of an equality constrained problem. It may be considered that this penalty function belongs to a class of general augmented Lagrangians on which other differentiable exact penalty functions are based. It is shown that this penalty function possesses an attractive property which may be enable us to use Newton like method effectively. Some numerical results are also reported.

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Available abstract

This paper is concerned with a differentiable exact penalty function derived by modifying the Wolfe dual of an equality constrained problem. It may be considered that this penalty function belongs to a class of general augmented Lagrangians on which other differentiable exact penalty functions are based. It is shown that this penalty function possesses an attractive property which may be enable us to use Newton like method effectively. Some numerical results are also reported.

Key concepts: Differentiable function, Penalty method, Mathematical optimization, Function (biology), Mathematics, Dual (grammatical number), Constrained optimization, Property (philosophy)

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