regularization

An interior-point L1-penalty method for nonlinear optimization

  • Nicholas I. M. Gould
  • Dominique Orban
  • Philippe L. Toint
    • Categories Constrained Nonlinear Optimization Tags , , ,

    A mixed interior/exterior-point method for nonlinear programming is described, that handles constraints by an L1-penalty function. A suitable decomposition of the penalty terms and embedding of the problem into a higher-dimensional setting leads to an equivalent, surprisingly regular, reformulation as a smooth penalty problem only involving inequality constraints. The resulting problem may then be tackled … Read more

    Robust regularization

  • Adrian Lewis
    • Categories Control Applications, Nonsmooth Optimization, Robust Optimization Tags , , , , , , , ,

    Given a real function on a Euclidean space, we consider its “robust regularization”: the value of this new function at any given point is the maximum value of the original function in a fixed neighbourhood of the point in question. This construction allows us to impose constraints in an optimization problem *robustly*, safeguarding a constraint … Read more