A Shifted Primal-Dual Penalty-Barrier Method for Nonlinear Optimization

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21230%2F20%3A00341371" target="_blank" >RIV/68407700:21230/20:00341371 - isvavai.cz</a>

Výsledek na webu

<a href="https://doi.org/10.1137/19M1247425" target="_blank" >https://doi.org/10.1137/19M1247425</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1137/19M1247425" target="_blank" >10.1137/19M1247425</a>

Jazyk výsledku

angličtina

Název v původním jazyce

A Shifted Primal-Dual Penalty-Barrier Method for Nonlinear Optimization

Popis výsledku v původním jazyce

In nonlinearly constrained optimization, penalty methods provide an effective strategy for handling equality constraints, while barrier methods provide an effective approach for the treatment of inequality constraints. A new algorithm for nonlinear optimization is proposed based on minimizing a shifted primal-dual penalty-barrier function. Certain global convergence properties are established. In particular, it is shown that a limit point of the sequence of iterates may always be found that is either an infeasible stationary point or a complementary approximate Karush--Kuhn--Tucker point; i.e., it satisfies reasonable stopping criteria and is a Karush--Kuhn--Tucker point under a regularity condition that is the weakest constraint qualification associated with sequential optimality conditions. It is also shown that under suitable additional assumptions, the method is equivalent to a shifted variant of the primal-dual path-following method in the neighborhood of a solution. Numerical examples are provided that illustrate the performance of the method compared to a widely used conventional interior-point method.

Název v anglickém jazyce

A Shifted Primal-Dual Penalty-Barrier Method for Nonlinear Optimization

Popis výsledku anglicky

In nonlinearly constrained optimization, penalty methods provide an effective strategy for handling equality constraints, while barrier methods provide an effective approach for the treatment of inequality constraints. A new algorithm for nonlinear optimization is proposed based on minimizing a shifted primal-dual penalty-barrier function. Certain global convergence properties are established. In particular, it is shown that a limit point of the sequence of iterates may always be found that is either an infeasible stationary point or a complementary approximate Karush--Kuhn--Tucker point; i.e., it satisfies reasonable stopping criteria and is a Karush--Kuhn--Tucker point under a regularity condition that is the weakest constraint qualification associated with sequential optimality conditions. It is also shown that under suitable additional assumptions, the method is equivalent to a shifted variant of the primal-dual path-following method in the neighborhood of a solution. Numerical examples are provided that illustrate the performance of the method compared to a widely used conventional interior-point method.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

10201 - Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2020

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

SIAM Journal on Optimization

ISSN

1052-6234

e-ISSN

1095-7189

Svazek periodika

30

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

27

Strana od-do

1067-1093

Kód UT WoS článku

000547000900002

EID výsledku v databázi Scopus

2-s2.0-85085247890