Steering exact penalty methods for nonlinear programming

Authors:
Richard H. Byrd;Jorge Nocedal;Richard A. Waltz
Affiliations:
Department of Computer Science, University of Colorado, Boulder, CO, USA/;Department of Electrical Engineering and Computer Science, Northwestern University, Evanston, IL, USA;Department of Electrical Engineering and Computer Science, Northwestern University, Evanston, IL, USA
Venue:
Optimization Methods & Software - Dedicated to Professor Michael J.D. Powell on the occasion of his 70th birthday
Year:
2008

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Abstract

This paper reviews, extends and analyses a new class of penalty methods for nonlinear optimization. These methods adjust the penalty parameter dynamically; by controlling the degree of linear feasibility achieved at every iteration, they promote balanced progress toward optimality and feasibility. In contrast with classical approaches, the choice of the penalty parameter ceases to be a heuristic and is determined, instead, by a subproblem with clearly defined objectives. The new penalty update strategy is presented in the context of sequential quadratic programming and sequential linear-quadratic programming methods that use trust regions to promote convergence. The paper concludes with a discussion of penalty parameters for merit functions used in line search methods.