Research Reports from the Department of Operations
Document Type
Report
Publication Date
3-1-1971
Abstract
Interior penalty functions are a popular approach for solving non-linear constrained optimization problems. Most current methods for minimizing such functions require a one-dimensional minimization along specified search directions, and this can be quite difficult, since the function approaches +∞ along the boundaries of the feasible set. A special purpose algorithm is described which alleviates this difficulty by using a simpler approximating function which also goes to infinity near the boundary. Numerical results are presented, showing that the number of function evaluations and computation time are reduced by factors of about three and two respectively. The ideas are easily extended to exterior penalty functions.
Keywords
Operations research, Nonlinear programming, Constrained optimization, Interior-point methods, Algorithms, Mathematical optimization, Numerical analysis
Publication Title
Technical Memorandums from the Department of Operations, School of Management, Case Western Reserve University
Issue
Technical memorandum no. 220
Rights
This work is in the public domain and may be freely downloaded for personal or academic use
Recommended Citation
Lasdon, Leon S.; Fox, Richard L.; and Ratner, Margery W., "An Efficient One-Dimensional Search Procedure for Barrier Function" (1971). Research Reports from the Department of Operations. 180.
https://commons.case.edu/wsom-ops-reports/180