Penalty method

Known as: Penalty coefficient, Penalty function, Penalty methods 
Penalty methods are a certain class of algorithms for solving constrained optimization problems. A penalty method replaces a constrained optimization… (More)
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Highly Cited
2013
Highly Cited
2013
In this paper we consider sparse approximation problems, that is, general l0 minimization problems with the l0-“norm” of a vector… (More)
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Highly Cited
2010
Highly Cited
2010
An application of the penalty method to the finite element method is analyzed. For a model Poisson equation with homogeneous… (More)
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Highly Cited
2004
Highly Cited
2004
The fair price for an American option where the underlying asset follows a jump diffusion process can be formulated as a partial… (More)
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Highly Cited
2002
Highly Cited
2002
Abstract. In this paper the solution of nonlinear programming problems by a Sequential Quadratic Programming (SQP) trust-region… (More)
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Highly Cited
2002
Highly Cited
2002
The convergence of a penalty method for solving the discrete regularized American option valuation problem is studied. Sufficient… (More)
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Highly Cited
1998
Highly Cited
1998
Many real-world search and optimization problems involve i n quality and/or equality constraints and are thus posed as… (More)
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Highly Cited
1998
Highly Cited
1998
The American early exercise constraint can be viewed as transforming the two dimensional stochastic volatility option pricing PDE… (More)
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Highly Cited
1996
Highly Cited
1996
The application of genetic algorithms (GA) to constrained optimization problems has been hindered by the inefficiencies of… (More)
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Highly Cited
1994
Highly Cited
1994
This paper presents an abstract analysis of bounded variation (BY) methods for illposed apentor equations Au = L. Let where the… (More)
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Highly Cited
1994
Highly Cited
1994
In this paper we discuss the use of non-stationary penalty functions to solve general nonlinear programming problems (NP) using… (More)
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