Lagrangian regularization approach to constrained optimization problems (Q703420): Difference between revisions
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Property / full work available at URL: https://doi.org/10.1016/j.na.2004.08.001 / rank | |||
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Property / cites work: Asymptotic Analysis for Penalty and Barrier Methods in Convex and Linear Programming / rank | |||
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Property / cites work: Modified barrier functions (theory and methods) / rank | |||
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Latest revision as of 16:08, 7 June 2024
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English | Lagrangian regularization approach to constrained optimization problems |
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Lagrangian regularization approach to constrained optimization problems (English)
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11 January 2005
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This paper proposes a new regularization approach, referred to as the Lagrangian regularization approach, which aims to circumvent the nondifferentiability of a positively homogeneous function \(\delta(\cdot|\mathbb{R}^M_-\) in a conceptual unconstrained reformulation for constrained optimization problems. With the appropriate choices of regularizing function, we obtain a family of smooth functions that include, as special cases, the existing penalty and barrier functions. As such, our approach can be used as an instrumental tool to resolve the nondifferentiability of \(\delta(\cdot|\mathbb{R}^M_-\) as well as a unified way to construct penalty functions. For convex programming cases, we present its global convergence analysis.
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Constrained optimization problem
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Regularization approach
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Penalty function
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Monotone conjugate
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Recession function
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