An Adaptive Penalty Method for Inequality Constrained Minimization Problems

DOI10.1007/978-3-030-55874-1_14zbMATH Open1470.65118arXiv2201.02425OpenAlexW3157280242MaRDI QIDQ5152802FDOQ5152802

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)

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.

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

Mathematics Subject Classification ID

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

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Cited In (1)

• An adaptive competitive penalty method for nonsmooth constrained optimization

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