Path Following in the Exact Penalty Method of Convex Programming.

ABSTRACT: Classical penalty methods solve a sequence of unconstrained problems that put greater and greater stress on meeting the constraints. In the limit as the penalty constant tends to ∞, one recovers the constrained solution. In the exact penalty method, squared penalties are replaced by absolute value penalties, and the solution is recovered for a finite value of the penalty constant. In practice, the kinks in the penalty and the unknown magnitude of the penalty constant prevent wide application of the exact penalty method in nonlinear programming. In this article, we examine a strategy of path following consistent with the exact penalty method. Instead of performing optimization at a single penalty constant, we trace the solution as a continuous function of the penalty constant. Thus, path fo

SUBMITTER: Zhou H 

PROVIDER: S-EPMC4565725 | biostudies-literature | 2015 Jul

REPOSITORIES: biostudies-literature