Abstract
For smooth optimization problem with equality constraints, new continuously differentiable penalty function is derived. It is proved exact in the sense that local optimizers of a nonlinear program are precisely the optimizers of the associated penalty function under some nondegeneracy assumption. It is simple in the sense that the penalty function only includes the objective function and constrained functions, and it doesn’t include their gradients. This is achieved by augmenting the dimension of the program by a variable that controls the weight of the penalty terms.
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This research is supported by the National Natural Science Foundation of China under Grant No. 10971118 and the Science foundation of Shandong Province (J10LG04).
This paper was recommended for publication by Editor Shouyang WANG.
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Lian, S., Zhang, L. A simple smooth exact penalty function for smooth optimization problem. J Syst Sci Complex 25, 521–528 (2012). https://doi.org/10.1007/s11424-012-9226-1
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DOI: https://doi.org/10.1007/s11424-012-9226-1