Exact Penalty Methods
نویسنده
چکیده
Exact penalty methods for the solution of constrained optimization problems are based on the construction of a function whose unconstrained minimizing points are also solution of the constrained problem. In the rst part of this paper we recall some deenitions concerning exactness properties of penalty functions, of barrier functions, of augmented Lagrangian functions, and discuss under which assumptions on the constrained problem these properties can be ensured. In the second part of the paper we consider algorithmic aspects of exact penalty methods; in particular we show that, by making use of continuously diierentiable functions that possess exact-ness properties, it is possible to deene implementable algorithms that are globally convergent with superlinear convergence rate towards KKT points of the constrained problem.
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