A penalty approximation method for a semilinear parabolic double obstacle problem

Y. Zhou (), S. Wang () and X. Yang ()

Journal of Global Optimization, 2014, vol. 60, issue 3, 550 pages

Abstract: In this work, we present a novel power penalty method for the approximation of a global solution to a double obstacle complementarity problem involving a semilinear parabolic differential operator and a bounded feasible solution set. We first rewrite the double obstacle complementarity problem as a double obstacle variational inequality problem. Then, we construct a semilinear parabolic partial differential equation (penalized equation) for approximating the variational inequality problem. We prove that the solution to the penalized equation converges to that of the variational inequality problem and obtain a convergence rate that is corresponding to the power used in the formulation of the penalized equation. Numerical results are presented to demonstrate the theoretical findings. Copyright Springer Science+Business Media New York 2014

Keywords: Parabolic differential operator; Complementarity problem; Global optimizer; Penalty approximation method; Double obstacle problem; 49J40; 35J88 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (4)

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DOI: 10.1007/s10898-013-0122-6

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