An adaptive penalty method for inequality constrained minimization problems

DOI10.1007/978-3-030-55874-1_14MaRDI QIDQ5152802zbMATH OpenOpenAlexFDO

Authors W. M. Boon, J. M. Nordbotten

Publication date 27 September 2021

Published in Lecture Notes in Computational Science and Engineering (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2201.02425

Mathematics Subject Classification ID

Existence theories for problems in abstract spaces (49J27) Numerical methods involving duality (49M29) Numerical mathematical programming methods (65K05) Nonlinear programming (90C30) Programming in abstract spaces (90C48)

Abstract: 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.

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Cites work

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Cited in

(1)

• An adaptive competitive penalty method for nonsmooth constrained optimization

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