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A Penalty-Barrier Algorithm: SPENBAR

In: Continuous Nonlinear Optimization for Engineering Applications in GAMS Technology

Author

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  • Neculai Andrei

    (Center for Advanced Modeling & Optimization
    Academy of Romanian Scientists)

Abstract

Let us consider the following general nonlinear optimization problem:subject to:where x ∈ ℝ n ,E ≜ {1, … , m e } and I c ≜ {1, … , m}. The functions c i : ℝ n → ℝ, i ∈ I c ∪ E, are assumed to be twice continuously differentiable on ℝ n . I l , I u ⊆ {1, … , n}. To simplify the presentation of the algorithm, the simple bounds on the variables are also denoted c i (x). Define I sb as the set of indices such that for all j ∈ I l ∪ I u there is an i ∈ I sb with the property:

Suggested Citation

  • Neculai Andrei, 2017. "A Penalty-Barrier Algorithm: SPENBAR," Springer Optimization and Its Applications, in: Continuous Nonlinear Optimization for Engineering Applications in GAMS Technology, chapter 0, pages 203-221, Springer.
    • Handle: RePEc:spr:spochp:978-3-319-58356-3_8
    DOI: 10.1007/978-3-319-58356-3_8
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