An exact penalty function for semi-infinite programming |
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Authors: | Andrew R Conn Nicholas I M Gould |
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Institution: | (1) Department of Computer Science, University of Waterloo, N2L 3G1 Waterloo, Ontario, Canada;(2) Department of Combinatorics and Optimization, University of Waterloo, N2L 3G1 Waterloo, Ontario, Canada |
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Abstract: | This paper introduces a global approach to the semi-infinite programming problem that is based upon a generalisation of the
ℓ1 exact penalty function. The advantages are that the ensuing penalty function is exact and the penalties include all violations.
The merit function requires integrals for the penalties, which provides a consistent model for the algorithm. The discretization
is a result of the approximate quadrature rather than an a priori aspect of the model.
This research was partially supported by Natural Sciences and Engineering Research Council of Canada grants A-8639 and A-8442.
This paper was typeset using software developed at Bell Laboratories and the University of California at Berkeley. |
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Keywords: | Semi-infinite programming exact ℓ 1 penalty functions global algorithms |
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