The filled function transformations for constrained global optimization

DOI10.1016/0096-3003(90)90118-MMaRDI QIDQ751199zbMATH OpenOpenAlexFDO

Authors Renpu Ge

Publication date 1990

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0096-3003(90)90118-m

zbMATH Keywords

filled function transformation global optimization penalty function unconstrained global minimization problem

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Nonlinear programming (90C30)

Review text

The purpose of this paper is to introduce the main idea of the filled function transformation. One shows that there exist several ways to make global optimization (1) global-min f(x) subject to \(c_ i(x)=0\), \(i=1,...,m'\); \(c_ i(x)\geq 0\), \(i=m'+1,...,m.\) The first is to use the exact penalty function \[ P_ e(x,\mu)=f(x)+\sum^{m'}_{i=1}\mu_ i| c_ i(x)| +\sum^{m}_{i=m'+1}\mu_ i\max [0,-c_ i(x)], \] to transform the problem (1) to an unconstrained global minimization problem. The second one constructs filled functions for problem (1) with inequality constraints only. For this, one divides \(R^ n\) into two parts: \(S_ 1=\{x/f(x)\geq f(x^*_ 1)\) or \(x\not\in \Omega_ f\}\), \(S_ 2=\{x/f(x)<f(x^*_ 1)\) and \(x\in \Omega_ f\}\), \((\Omega_ f\) is the feasible region of problem (1)) and one finds a filled function transformation \[ \bar U(x,A,h)=\eta (\| x-x_ 0\|)\phi [A(\max \{[f(x)-f(x^*_ 1)], \quad \max [-c_ i(x)]\}+h)], \] which has no stationary point in \(S_ 1\), but does have a minimizer in \(S_ 2.\) The third way is to use a square penalty function \[ F(x,\mu)=f(x)+\sum^{m'}_{i=1}\mu_ i[c_ i(x)]^ 2+\sum^{m}_{i=m'+1}\mu_ i[\max (0,c_ i(x))]^ 2 \] to transform the problem (1) to a sequence of unconstrained global optimization problems. The fourth way is to solve a sequence of new constrained local minimization problems with filled functions and a part of the original constraints.

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