Implementing a smooth exact penalty function for general constrained nonlinear optimization

Abstract: We build upon Estrin et al. (2019) to develop a general constrained nonlinear optimization algorithm based on a smooth penalty function proposed by Fletcher (1970, 1973b). Although Fletcher's approach has historically been considered impractical, we show that the computational kernels required are no more expensive than those in other widely accepted methods for nonlinear optimization. The main kernel for evaluating the penalty function and its derivatives solves structured linear systems. When the matrices are available explicitly, we store a single factorization each iteration. Otherwise, we obtain a factorization-free optimization algorithm by solving each linear system iteratively. The penalty function shows promise in cases where the linear systems can be solved efficiently, e.g., PDE-constrained optimization problems when efficient preconditioners exist. We demonstrate the merits of the approach, and give numerical results on several PDE-constrained and standard test problems.

Recommendations

Cites work

Cited in

(13)

Describes a project that uses

Uses Software

This page was built for publication: Implementing a smooth exact penalty function for general constrained nonlinear optimization

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3300858)