Abstract
As an approach to solving nonlinear programs, we study a class of functions known to be exact penalty functions for a proper choice of the parameters. The goal is to iteratively determine the correct parameters. A basic algorithm has been developed. We have proved that this algorithm converges to a global solution for concave programs and, in the limited computational tests performed to date, it has always converged to at least a local solution for nonconcave programs also.
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Communicated by G. L. Nemhauser
The author would like to thank the referee whose suggestions made it possible to improve significantly the presentation of the paper.
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Hartman, J.K. Iterative determination of parameters for an exact penalty function. J Optim Theory Appl 16, 49–66 (1975). https://doi.org/10.1007/BF00935623
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DOI: https://doi.org/10.1007/BF00935623