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

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