On the Application of Composite Penalty Functions Obtained by “Gluing” of External Penalties with Barrier Ones in Linear Programming
摘要
In this note, two new very simple and computationally convenient external penalty functions are proposed for approximate solving of the linear programming problem with constraints-inequalities. The author calls these constructions as composite ones. Both functions are a result of a smooth “gluing” of well-know quadratic penalty function with some barrier functions, namely inverse and logarithmic ones. As a result, the composite functions combine the positive properties both of their components. Similar to quadratic penalty function, the new constructions are defined overall space and demonstrate a stable work both inside and outside the feasible set of the original problem. At the same time, similar to barrier functions, the composite functions make it possible to apply second-order methods for their minimization. The convergence theorems are proved, and encouraging results of numerical experiments are presented.