Interior and Exterior Penalty Methods to Solve Nonlinear Optimization Problems
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Date
2017-06
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Addis Ababa University
Abstract
The methods that we describe presently, attempt to approximate a constrained optimiza-
tion problem with an unconstrained one and then apply standard search techniques such
as exterior penalty function method and interior penalty method to obtain solutions. The
approximation is accomplished in the case of exterior penalty methods by adding a term
to the objective function that prescribes a high cost for violation of the constraints. In the
case of interior penalty function methods, a term is added that favors points in the interior
of the feasible region over those near the boundary. For a problem with n variables and
m constraints, both approaches work directly in the n-dimensional space of the variables.
The discussion that follows emphasizes exterior penalty methods recognizing that interior
penalty function methods embody the same principles.
Keywords: Constrained optimization, unconstrained optimization, Exterior penalty,Interior
penalty(barrier) methods,Penalty Parameter,Penalty function, Penalty Term,Auxiliary func-
tion,non linear programming.
Description
Keywords
Constrained Optimization, Unconstrained Optimization, Exterior Penalty, Interior Penalty(Barrier) Methods, Penalty Parameter, Penalty Function, Penalty Term,Auxiliary Func- Tion,Non Linear Programming