A Line Search Exact Penalty Method Using Steering Rules<br/>

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A Line Search Exact Penalty Method Using Steering Rules

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Type of Document: M.Sc. Thesis
Language: Farsi
Document No: 42515 (02)
University: Sharif University of Technology
Department: Mathematical Sciences
Advisor(s): Mahdavi-Amiri, Nezamoddin
Abstract:
We explain a new penalty method recently introduced in the literature for solv-ing constrained optimization problems. In this method, the penalty parameter is adjusted dynamically at every iteration to ensure su?cient progress in linear feasi-bility. A trust region is used to assist in the determination of the penalty parameter, but not in the step computation. It is shown that the algorithm has global conver-gence. We implement the algorithm and test the program on a number of di?cult optimization problems. The numerical results con?rm the e?ectiveness of the algo-rithm
Keywords:
Constrained Optimization ; Exact Penalty Function ; Steering Rules ; Sequential Quadratic Programming (SQP) ; Exact Penalty Method for Mixed Integer Nonlinear Programming