A new exact penalty function

For constrained smooth or nonsmooth optimization problems, new continuously differentiable penalty functions are derived. They are proved exact in the sense that under some nondegeneracy assumption, local optimizers of a nonlinear program are precisely the optimizers of the associated penalty function. This is achieved by augmenting the dimension of the program by a variable that controls both the weight of the penalty terms and the regularization of the nonsmooth terms.

Citation

http://www.mat.univie.ac.at/+AH4-neum/papers.html#penalty

Article

Download

View A new exact penalty function