A second-order smooth penalty function algorithm for constrained optimization problems

Authors:
Xinsheng Xu;Zhiqing Meng;Jianwu Sun;Liguo Huang;Rui Shen
Affiliations:
College of Business and Administration, Zhejiang University of Technology, Hangzhou, China 310023 and Department of Mathematics and Information Science, Binzhou University, Binzhou, China 256603;College of Business and Administration, Zhejiang University of Technology, Hangzhou, China 310023;Department of Mathematics and Information Science, Binzhou University, Binzhou, China 256603;Department of Mathematics and Information Science, Binzhou University, Binzhou, China 256603;College of Business and Administration, Zhejiang University of Technology, Hangzhou, China 310023
Venue:
Computational Optimization and Applications
Year:
2013

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Abstract

This paper introduces a second-order differentiability smoothing technique to the classical l 1 exact penalty function for constrained optimization problems(COP). Error estimations among the optimal objective values of the nonsmooth penalty problem, the smoothed penalty problem and the original optimization problem are obtained. Based on the smoothed problem, an algorithm for solving COP is proposed and some preliminary numerical results indicate that the algorithm is quite promising.