exact penalization

A Sequential Algorithm for Solving Nonlinear Optimization Problems with Chance Constraints

  • Frank E. Curtis
  • Victor M. Zavala
    • Categories Constrained Nonlinear Optimization, Nonlinear Optimization Tags , , , , , ,

    An algorithm is presented for solving nonlinear optimization problems with chance constraints, i.e., those in which a constraint involving an uncertain parameter must be satisfied with at least a minimum probability. In particular, the algorithm is designed to solve cardinality-constrained nonlinear optimization problems that arise in sample average approximations of chance-constrained problems, as well as … Read more

    A Sequential Quadratic Optimization Algorithm with Rapid Infeasibility Detection

  • James V. Burke
  • Frank E. Curtis
  • Hao Wang
    • Categories Constrained Nonlinear Optimization, Nonlinear Optimization Tags , , , , ,

    We present a sequential quadratic optimization (SQO) algorithm for nonlinear constrained optimization. The method attains all of the strong global and fast local convergence guarantees of classical SQO methods, but has the important additional feature that fast local convergence is guaranteed when the algorithm is employed to solve infeasible instances. A two-phase strategy, carefully constructed … Read more

    Exact Penalization, Level Function Method and Modified Cutting-Plane Method for Stochastic Programs with Second Order Stochastic Dominance Constraints

  • Rudabeh Meskarian
  • Hailin Sun
  • Huifu Xu
  • Yong Wang
    • Categories Finance and Economics, Stochastic Programming Tags , , ,

    Level function methods and cutting plane methods have been recently proposed to solve stochastic programs with stochastic second order dominance (SSD) constraints. A level function method requires an exact penalization setup because it can only be applied to the objective function, not the constraints. Slater constraint qualification (SCQ) is often needed for deriving exact penalization. … Read more

    A Sequential Quadratic Programming Algorithm for Nonconvex, Nonsmooth Constrained Optimization

  • Frank E. Curtis
  • Michael L. Overton
    • Categories Constrained Nonlinear Optimization, Nonsmooth Optimization Tags , , , , ,

    We consider optimization problems with objective and constraint functions that may be nonconvex and nonsmooth. Problems of this type arise in important applications, many having solutions at points of nondifferentiability of the problem functions. We present a line search algorithm for situations when the objective and constraint functions are locally Lipschitz and continuously differentiable on … Read more

    Exact regularization of convex programs

  • Michael P. Friedlander
  • Paul Tseng
    • Categories Convex Optimization Tags , , , , , , , ,

    The regularization of a convex program is exact if all solutions of the regularized problem are also solutions of the original problem for all values of the regularization parameter below some positive threshold. For a general convex program, we show that the regularization is exact if and only if a certain selection problem has a … Read more