Perturbed variations of penalty function methods. Example: Projective SUMT

DOI10.1007/BF02055202MaRDI QIDQ2639773zbMATH OpenOpenAlexFDO

Authors Anthony V. Fiacco

Publication date 1990

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02055202

zbMATH Keywords

penalty functionProjective SUMT

Mathematics Subject Classification ID

Computational methods for problems pertaining to operations research and mathematical programming (90-08) Convex programming (90C25) Sensitivity, stability, parametric optimization (90C31)

Review text

This article is motivated by the Projective SUMT (Sequential Unconstrained Minimization Technique) proposed originally by G. P. McCormick. The Projective SUMT is a penalty function technique for solving a certain convex programming problem, based on solving the differential equation associated with a barrier function minimizing trajectory. The author shows that the Projective SUMT is a simple variation of the classical SUMT and that all results (convexity and duality results, convergence, satisfaction of the Karush-Kuhn-Tucker conditions, etc.) that have been developed for the classical SUMT are applicable to the Projective SUMT with simple modifications. The author defines new classes of penalty functions by introducing simple linear perturbations of classical penalty functions or, equivalently, perturbations of the given convex programming problem. Further, the author indicates several classes of augmented penalty functions that he feels merit further study.

Recommendations

• The Projective SUMT Method for Convex Programming
• Logarithmic SUMT limits in convex programming
• Penalization in non-classical convex programming via variational convergence
• On the weak convergence of the method of penalty functions with respect to argument
• scientific article; zbMATH DE number 16508

Cites work

• A new polynomial-time algorithm for linear programming
• scientific article; zbMATH DE number 3307153 (Why is no real title available?)
• Introduction to sensitivity and stability analysis in nonlinear programming
• On projected newton barrier methods for linear programming and an equivalence to Karmarkar’s projective method
• The Projective SUMT Method for Convex Programming

Cited in

(6)

• K-K-T multiplier estimates and objective function lower bounds from projective SUMT
• Learning in games via reinforcement and regularization
• Inertial game dynamics and applications to constrained optimization
• The Projective SUMT Method for Convex Programming
• Legendre transform and applications to finite and infinite optimization
• Logarithmic SUMT limits in convex programming

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