Skip Navigation


IMA Journal of Numerical Analysis Advance Access originally published online on March 14, 2008
IMA Journal of Numerical Analysis 2008 28(4):749-769; doi:10.1093/imanum/drn003
This Article
Right arrow Full Text (PDF)
Right arrow All Versions of this Article:
28/4/749    most recent
drn003v1
Right arrow Alert me when this article is cited
Right arrow Alert me if a correction is posted
Services
Right arrow Email this article to a friend
Right arrow Similar articles in this journal
Right arrow Alert me to new issues of the journal
Right arrow Add to My Personal Archive
Right arrow Download to citation manager
Right arrowRequest Permissions
Google Scholar
Right arrow Articles by Curtis, F. E.
Right arrow Articles by Nocedal, J.
Right arrow Search for Related Content
Social Bookmarking
Add to CiteULike   Add to Connotea   Add to Del.icio.us  
What's this?

© The author 2008. Published by Oxford University Press on behalf of the Institute of Mathematics and its Applications. All rights reserved.

Flexible penalty functions for nonlinear constrained optimization

Frank E. Curtis{dagger}

Department of Industrial Engineering and Management Sciences, Northwestern University, Evanston, IL 60208-3118, USA

Jorge Nocedal

Department of Electrical Engineering and Computer Science, Northwestern University, Evanston, IL 60208-3118, USA

{dagger} Email: fecurt{at}gmail.com

Received on 11 April 2007. Accepted for publication 5 January 2008.


  Abstract

We propose a globalization strategy for nonlinear constrained optimization. The method employs a ‘flexible’ penalty function to promote convergence, where during each iteration the penalty parameter can be chosen as any number within a prescribed interval, rather than a fixed value. This increased flexibility in the step acceptance procedure is designed to promote long productive steps for fast convergence. An analysis of the global convergence properties of the approach in the context of a line search sequential quadratic programming method and numerical results for the KNITRO software package are presented.

Key Words: nonlinear programming; constrained optimization; sequential quadratic programming; penalty functions; global convergence

Dedicated to Prof. M. J. D. Powell, pioneer of nonlinear optimization, on occasion of his 70th birthday.


Add to CiteULike CiteULike   Add to Connotea Connotea   Add to Del.icio.us Del.icio.us    What's this?




Disclaimer: Please note that abstracts for content published before 1996 were created through digital scanning and may therefore not exactly replicate the text of the original print issues. All efforts have been made to ensure accuracy, but the Publisher will not be held responsible for any remaining inaccuracies. If you require any further clarification, please contact our Customer Services Department.