Automatic Decrease of the Penalty Parameterin Exact Penalty Function MethodsMarcel MongeauDepartment of Mathematics and StatisticsUniversity of Edinburgh

@inproceedings{Sartenaer1995AutomaticDO,
  title={Automatic Decrease of the Penalty Parameterin Exact Penalty Function MethodsMarcel MongeauDepartment of Mathematics and StatisticsUniversity of Edinburgh},
  author={Annick Sartenaer},
  year={1995}
}
This paper presents an analysis of the involvement of the penalty parameter in exact penalty function methods that yields modiications to the standard outer loop which decreases the penalty parameter (typically dividing it by a constant). The procedure presented is based on the simple idea of making explicit the dependence of the penalty function upon the penalty parameter and is illustrated on a linear programming problem with the l 1 exact penalty function and an active-set approach. The… CONTINUE READING
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