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基于一个含有控制参数的修正Lagrangian函数,该文建立了一个求解非线性约束优化问题的修正Lagrangian算法.在一些适当的条件下,证明了控制参数存在一个阀值,当控制参数小于这一阀值时,由这一算法产生的序列解局部收敛于问题的Kuhn-Tucker点,并且建立了解的误差上界.最后给出一些约束优化问题的数值结果. 相似文献
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本文通过给出的一个修正的罚函数,把约束非线性规划问题转化为无约束非线性规划问题.我们讨论了原问题与相应的罚问题局部最优解和全局最优解之间的关系,并给出了乘子参数和罚参数与迭代点之间的关系,最后给出了一个简单算法,数值试验表明算法是有效的. 相似文献
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本文介绍高波数Helmholtz方程的有限元方法和连续内罚有限元方法.将以线性元情形为例,给出方法的明显依赖于波数k的预渐近稳定性和误差分析.我们将介绍三种证明方法.我们还讨论了内罚有限元方法的罚参数的选取以显著减少方法的污染误差·最后还给出数值例子验证理论结果. 相似文献
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L_1-精确罚函数和约束总极值问题 总被引:1,自引:0,他引:1
张连生 《高等学校计算数学学报》1988,(2)
我们在[1]中,曾对带有不等式约束的最优化问题的总极值,进行过讨论,采用方法是用罚函数把原问题化为无约束问题,但罚参数要趋向无穷。本文进一步用L_1-确罚函数把原问题化为无约束问题,讨论了在某种条件下,原问题与L_1-精确罚函数题的总极值之间的关系,且原问题可以有等式约束,同时罚参数不必趋于无穷,下面出有关结果。 相似文献
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在金融资产回报“厚尾”分布一、二阶扩展形式的基础上,建立起形状参数及阀值与V aR之间的关系.为此,我们引入了形状参数的矩估计原理和阀值选取的H a ll自助法.代入最优阀值的渐近均方误差为我们提供了形状参数矩估计阶的选择依据.从而,将实践中只计算形状参数的一、二阶矩估计进行了有效的推广. 相似文献
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在这篇文章中我们研究了对于不等式约束的非线性规划问题如何根据极小极大问题的鞍点来找精确罚问题的解。对于一个具有不等式约束的非线性规划问题,通过罚函数,我们构造出一个极小极大问题,应用交换“极小”或“极大”次序的策略,证明了罚问题的鞍点定理。研究结果显示极小极大问题的鞍点是精确罚问题的解。 相似文献
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T. Antczak 《Journal of Optimization Theory and Applications》2013,159(2):437-453
In the paper, we consider the exact minimax penalty function method used for solving a general nondifferentiable extremum problem with both inequality and equality constraints. We analyze the relationship between an optimal solution in the given constrained extremum problem and a minimizer in its associated penalized optimization problem with the exact minimax penalty function under the assumption of convexity of the functions constituting the considered optimization problem (with the exception of those equality constraint functions for which the associated Lagrange multipliers are negative—these functions should be assumed to be concave). The lower bound of the penalty parameter is given such that, for every value of the penalty parameter above the threshold, the equivalence holds between the set of optimal solutions in the given extremum problem and the set of minimizers in its associated penalized optimization problem with the exact minimax penalty function. 相似文献
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1引言众所周知,罚函数法在最优化理论与数值计算中占据着极其重要的位置,作为求解约束优化问题的一类重要方法,在上世纪五、六十年代曾经历一次发展高潮.近十几年来,伴随着对数障碍函数法在内点法中取得的成功,罚函数法的研究又呈现出一个小高潮[2,3,4].在罚函数方法里,精确惩罚函数法有着非常吸引人的性质,即,当罚参数大于某个有限门槛值时,仅通过求解单个无约束罚问题便可得到原问题的最优解,从而省去了一般罚函数法解系列无约束优化问题的工作量. 相似文献
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We study the properties of the augmented Lagrangian function for nonlinear semidefinite programming. It is shown that, under a set of sufficient conditions, the augmented Lagrangian algorithm is locally convergent when the penalty parameter is larger than a certain threshold. An error estimate of the solution, depending on the penalty parameter, is also established.The first author was partially supported by Singapore-MIT Alliance and by the National University of Singapore under Grants RP314000-028/042/057-112. The second author was partially supported by the Funds of the Ministry of Education of China for PhD Units under Grant 20020141013 and the National Natural Science Foundation of China under Grant 10471015. 相似文献
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This paper proposes nonlinear Lagrangians based on modified Fischer-Burmeister NCP
functions for solving nonlinear programming problems with inequality constraints. The
convergence theorem shows that the sequence of points generated by this nonlinear Lagrange algorithm is locally convergent when the penalty parameter is less than a threshold
under a set of suitable conditions on problem functions, and the error bound of solution,
depending on the penalty parameter, is also established. It is shown that the condition
number of the nonlinear Lagrangian Hessian at the optimal solution is proportional to the
controlling penalty parameter. Moreover, the paper develops the dual algorithm associated with the proposed nonlinear Lagrangians. Numerical results reported suggest that
the dual algorithm based on proposed nonlinear Lagrangians is effective for solving some
nonlinear optimization problems. 相似文献
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This paper analyzes the rate of local convergence of the Log-Sigmoid nonlinear Lagrange method for nonconvex nonlinear second-order cone programming. Under the componentwise strict complementarity condition, the constraint nondegeneracy condition and the second-order sufficient condition, we show that the sequence of iteration points generated by the proposed method locally converges to a local solution when the penalty parameter is less than a threshold and the error bound of solution is proportional to the penalty parameter. Finally, we report numerical results to show the efficiency of the method. 相似文献
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对于同时含有等式与不等式约束的非线性优化问题的修正Frisch函数方法,给出其乘子映射和解映射的导数的估计.将得到的估计用于建立修正Frisch函数方法的线性收敛速率.在线性无关的约束规范,严格互补条件和二阶充分性条件成立的前提下,证得该收敛率与1/c成正比.本文的收敛性分析依赖于矩阵的奇异值分解,其方法可以用来分析其他的修正Lagrange方法. 相似文献
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Xiang Wu Kanjian Zhang Changyin Sun 《Journal of Optimization Theory and Applications》2013,159(2):454-472
Under the framework of switched systems, this paper considers a multi-proportional-integral-derivative controller parameter tuning problem with terminal equality constraints and continuous-time inequality constraints. The switching time and controller parameters are decision variables to be chosen optimally. Firstly, we transform the optimal control problem into an equivalent problem with fixed switching instants by introducing an auxiliary function and a time-scaling transformation. Because of the complexity of constraints, it is difficult to solve the problem by conventional optimization techniques. To overcome this difficulty, a novel exact penalty function is introduced for these constraints. Furthermore, the penalty function is appended to the cost functional to form an augmented cost functional, giving rise to an approximate nonlinear parameter optimization problem that can be solved using any gradient-based method. Convergence results indicate that any local optimal solution of the approximate problem is also a local optimal solution of the original problem as long as the penalty parameter is sufficiently large. Finally, an example is provided to illustrate the effectiveness of the developed algorithm. 相似文献
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This paper focuses on the study of a class of nonlinear Lagrangians for solving nonconvex second order cone programming problems. The nonlinear Lagrangians are generated by Löwner operators associated with convex real-valued functions. A set of conditions on the convex real-valued functions are proposed to guarantee the convergence of nonlinear Lagrangian algorithms. These conditions are satisfied by well-known nonlinear Lagrangians appeared in the literature. The convergence properties for the nonlinear Lagrange method are discussed when subproblems are assumed to be solved exactly and inexactly, respectively. The convergence theorems show that, under the second order sufficient conditions with sigma-term and the strict constraint nondegeneracy condition, the algorithm based on any of nonlinear Lagrangians in the class is locally convergent when the penalty parameter is less than a threshold and the error bound of solution is proportional to the penalty parameter. Compared to the analysis in nonlinear Lagrangian methods for nonlinear programming, we have to deal with the sigma term in the convergence analysis. Finally, we report numerical results by using modified Frisch’s function, modified Carroll’s function and the Log-Sigmoid function. 相似文献
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Deriving the Properties of Linear Bilevel Programming via a Penalty Function Approach 总被引:7,自引:0,他引:7
Z. K. Xu 《Journal of Optimization Theory and Applications》1999,103(2):441-456
For the linear bilevel programming problem, we propose an assumption weaker than existing assumptions, while achieving similar results via a penalty function approach. The results include: equivalence between (i) existence of a solution to the problem, (ii) existence of an exact penalty function approach for solving the problem, and (iii) achievement of the optimal value of the equivalent form of the problem at some vertex of a certain polyhedral convex set. We prove that the assumption is both necessary and sufficient for the linear bilevel programming problem to admit an exact penalty function formulation, provided that the equivalent form of the problem has a feasible solution. A method is given for computing the minimal penalty function parameter value. This method can be executed by solving a set of linear programming problems. Lagrangian duality is also presented. 相似文献