Classification of Some Penalty Methods

A. Correia (), J. Matias (), P. Mestre () and C. Serôdio ()
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A. Correia: Instituto Politécnico do Porto
J. Matias: Universidade de Trás-os-Montes e Alto Douro
P. Mestre: Universidade de Trás-os-Montes e Alto Douro
C. Serôdio: Universidade de Trás-os-Montes e Alto Douro

Chapter 12 in Integral Methods in Science and Engineering, Volume 2, 2010, pp 131-140 from Springer

Abstract: Abstract Optimization problems arise in science, engineering, economy, etc. and we need to find the best solutions for each reality. The methods used to solve these problems depend on several factors, including the amount and type of accessible information, the available algorithms for solving them, and, obviously, the intrinsic characteristics of the problem. There are many kinds of optimization problems and, consequently, many kinds of methods to solve them. When the involved functions are nonlinear and their derivatives are not known or are very difficult to calculate, these methods are more rare. These kinds of functions are frequently called black box functions. To solve such problems without constraints (unconstrained optimization), we can use direct search methods. These methods do not require any derivatives or approximations of them. But when the problem has constraints (nonlinear programming problems) and, additionally, the constraint functions are black box functions, it is much more difficult to find the most appropriate method. Penalty methods can then used. They transform the original problem into a sequence of other problems, derived from the initial, all without constraints. Then this sequence of problems (without constraints) can be solved using the methods available for unconstrained optimization.

Date: 2010
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DOI: 10.1007/978-0-8176-4897-8_12

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