Smoothed penalty algorithms for optimization of nonlinear models

Authors:
M. Herty;A. Klar;A. K. Singh;P. Spellucci
Affiliations:
FB Mathematik, TU Kaiserslautern, Kaiserslautern, Germany;FB Mathematik, TU Kaiserslautern, Kaiserslautern, Germany;FB Mathematik, TU Kaiserslautern, Kaiserslautern, Germany;FB Mathematik, TU Darmstadt, Darmstadt, Germany
Venue:
Computational Optimization and Applications
Year:
2007

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Abstract

We introduce an algorithm for solving nonlinear optimization problems with general equality and box constraints. The proposed algorithm is based on smoothing of the exact l 1-penalty function and solving the resulting problem by any box-constraint optimization method. We introduce a general algorithm and present theoretical results for updating the penalty and smoothing parameter. We apply the algorithm to optimization problems for nonlinear traffic network models and report on numerical results for a variety of network problems and different solvers for the subproblems.