An Adaptive Penalty Method for Inequality Constrained Minimization Problems

Autor:	Wietse M. Boon, Jan Martin Nordbotten
Rok vydání:	2020
Předmět:	Scheme (programming language) Mathematical optimization Computer science Perspective (graphical) Residual symbols.namesake Jacobian matrix and determinant symbols Limit of a sequence Penalty method Minification computer Active set method computer.programming_language
Zdroj:	Lecture Notes in Computational Science and Engineering ISBN: 9783030558734 ENUMATH
Popis:	The primal-dual active set method is observed to be the limit of a sequence of penalty formulations. Using this perspective, we propose a penalty method that adaptively becomes the active set method as the residual of the iterate decreases. The adaptive penalty method (APM) therewith combines the main advantages of both methods, namely the ease of implementation of penalty methods and the exact imposition of inequality constraints inherent to the active set method. The scheme can be considered a quasi-Newton method in which the Jacobian is approximated using a penalty parameter. This spatially varying parameter is chosen at each iteration by solving an auxiliary problem.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::757185d65fe81eb37f6d69ad8162bfa7 https://doi.org/10.1007/978-3-030-55874-1_14 Zobrazit plný text záznamu