Exact penalty functions with multidimensional penalty parameter and adaptive penalty updates

DOI10.1007/S11590-021-01777-2zbMATH Open1491.90158arXiv2102.13632OpenAlexW3180934676MaRDI QIDQ2128773FDOQ2128773

Authors: Maxim Dolgopolik 

Publication date: 22 April 2022

Published in: Optimization Letters (Search for Journal in Brave)

Abstract: We present a general theory of exact penalty functions with vectorial (multidimensional) penalty parameter for optimization problems in infinite dimensional spaces. In comparison with the scalar case, the use of vectorial penalty parameters provides much more flexibility, allows one to adaptively and independently take into account the violation of each constraint during an optimization process, and often leads to a better overall performance of an optimization method using an exact penalty function. We obtain sufficient conditions for the local and global exactness of penalty functions with vectorial penalty parameters and study convergence of global exact penalty methods with several different penalty updating strategies. In particular, we present a new algorithmic approach to an analysis of the global exactness of penalty functions, which contains a novel characterisation of the global exactness property in terms of behaviour of sequences generated by certain optimization methods.

Full work available at URL: https://arxiv.org/abs/2102.13632

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• scientific article; zbMATH DE number 778133

zbMATH Keywords

exact penalty methodexact penalty functionpenalty updates

Mathematics Subject Classification ID

Nonlinear programming (90C30)

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Cited In (2)

• An update rule and a convergence result for a penalty function method
• Equivalence relations in convex optimization

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