A Penalty-Barrier Algorithm: SPENBAR

Neculai Andrei
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Neculai Andrei: Center for Advanced Modeling & Optimization

Chapter Chapter 8 in Continuous Nonlinear Optimization for Engineering Applications in GAMS Technology, 2017, pp 203-221 from Springer

Abstract: Abstract Let us consider the following general nonlinear optimization problem:subject to:where x ∈ ℝ n ,E ≜ {1, … , m e } and I c ≜ {1, … , m}. The functions c i : ℝ n → ℝ, i ∈ I c ∪ E, are assumed to be twice continuously differentiable on ℝ n . I l , I u ⊆ {1, … , n}. To simplify the presentation of the algorithm, the simple bounds on the variables are also denoted c i (x). Define I sb as the set of indices such that for all j ∈ I l ∪ I u there is an i ∈ I sb with the property:

Date: 2017
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DOI: 10.1007/978-3-319-58356-3_8

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