Research Reports from the Department of Operations
Document Type
Report
Publication Date
12-1-1970
Abstract
Constrained minimization is often done via interior penalty functions. Such functions can be very difficult to minimize using existing algorithms. In this paper, a new algorithm is described which is specially constructed to deal with such functions. It generates search directions by linearizing the objective and constraints about the current (interior) point, substituting these linearizations into the penalty function, and minimizing the result. Properties of the algorithm are derived, an efficient method for solving the direction finding problem is suggested, and computational results are presented. Preliminary results are also given on an extension to quasi-barrier and exterior penalty functions.
Keywords
Operations research, Constrained optimization, Mathematical optimizationm Algorithms, Interior-point methods, Nonlinear programming
Publication Title
Technical Memorandums from the Department of Operations, School of Management, Case Western Reserve University
Issue
Technical memorandum no. 210
Rights
This work is in the public domain and may be freely downloaded for personal or academic use
Recommended Citation
Lasdon, Leon S., "An Efficient Algorithm for Minimizing Barrier and Penalty Functions" (1970). Research Reports from the Department of Operations. 176.
https://commons.case.edu/wsom-ops-reports/176