Zeitschrift für Operations Research

, Volume 41, Issue 1, pp 25–55 | Cite as

A two parameter mixed interior-exterior penalty algorithm

  • Abdelhamid Benchakroun
  • Jean-Pierre Dussault
  • Abdelatif Mansouri


In this paper, we analyze the mixed penalty methods introduced in the classic book of Fiacco and McCormick usingtwo distinct penalty parametersr, t. The two penalty coefficients induce a two-parameter differentiable trajectory. We analyze the numerical behaviour of an extrapolation strategy that follows the path of the two-parameter trajectory. We show also how to remove the ill-conditioning by suitable transformations of the equations. In the resulting theory, we show that function values as well as distances to the optimum are both governed by the same behaviour as interior methods (two-step superlinearly convergent, with limiting exponent 4/3).


Penalty Method Classic Book Suitable Transformation Penalty Coefficient Numerical Behaviour 
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Copyright information

© Physica-Verlag 1995

Authors and Affiliations

  • Abdelhamid Benchakroun
    • 1
  • Jean-Pierre Dussault
    • 1
  • Abdelatif Mansouri
    • 1
  1. 1.Faculté des sciencesUniversité de SherbrookeSherbrookeCanada

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