A globally convergent,implementable multiplier method with automatic penalty limitation |
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Authors: | E Polak A L Tits |
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Institution: | (1) Department of Electrical Engineering and Computer Sciences and the Electronics Research Laboratory, University of California, 94720 Berkeley, California, USA |
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Abstract: | This paper deals with penalty function and multiplier methods for the solution of constrained nonconvex nonlinear programming problems. Starting from an idea introduced several years ago by Polak, we develop a class of implementable methods which, under suitable assumptions, produce a sequence of points converging to a strong local minimum for the problem, regardless of the location of the initial guess. In addition, for sequential minimization type multiplier methods, we make use of a rate of convergence result due to Bertsekas and Polyak, to develop a test for limiting the growth of the penalty parameter and thereby prevent ill-conditioning in the resulting sequence of unconstrained optimization problems.Research sponsored by the National Science Foundation (RANN) Grant ENV76-04264 and the Joint Services Electronics Research Program Contract F44620-76-C-0100. |
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Keywords: | nonlinear programming multiplier methods penalty methods global convergence penalty limitation |
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