互补约束优化问题的惩罚函数方法
首发时间:2018-04-20
摘要:本文首先提出了互补约束问题的松弛问题,并将后者转化成罚函数问题,在一定条件下分析了松弛问题与罚函数问题的最优解之间的关系。然后本文提出了求解互补约束问题的罚函数方法,通过求解一系列罚函数问题获得的解序列去逼近互补约束问题的稳定点,并分析了该序列的收敛性。
关键词: 运筹学与控制论 互补约束问题 松弛法 精确惩罚方法 二阶条件 稳定点条件
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Penalty Function Method for Complementarity Constrained Optimization Problems
Abstract:This paper first proposes a slack form of the complementary constraint problem and then transform it into a penalty function problem, and analyze the relation between solutions of the slack problem and its penalty form. Then this paper proposes a penalty function method for the complementary constraint problem, namely, through the solution sequence obtained by solving a series of penalty functions to approximate the stability point of the complementary constraint problem, and analyze the convergence of the sequence.
Keywords: Operational Research and Cybernetics Complementary constraint problem Relaxation method Exact penalty method Second order conditions Stationary point conditions
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