Discontinuous Penalty Approach With Deviation Integral for Global Constrained Minimization

CHEN Liu; YAO Yi-rong; ZHENG Quan

doi:10.3879/j.issn.1000-0887.2009.09.015

Volume 30 Issue 9

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CHEN Liu, YAO Yi-rong, ZHENG Quan. Discontinuous Penalty Approach With Deviation Integral for Global Constrained Minimization[J]. Applied Mathematics and Mechanics, 2009, 30(9): 1125-1134. doi: 10.3879/j.issn.1000-0887.2009.09.015

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Discontinuous Penalty Approach With Deviation Integral for Global Constrained Minimization

doi: 10.3879/j.issn.1000-0887.2009.09.015

1.
Department of Mathematics, Shanghai University, Shanghai 200444, P. R. China;

Received Date: 2009-03-05
Rev Recd Date: 2009-06-27
Publish Date: 2009-09-15

Abstract

Abstract

The discontinuous exact penalty functions is employed to solve constrained minimization problems with the help of integral approach.A general form of constrained deviation integral was provided and its analytical properties was examined.Optimality conditions of the penalized minimization problem was proved as well.In order to implement the algorithm,cross-entropy method and important sampling were used on the basis of Monte-Carlo technique.Numerical tests show that the new algorithm is effective.
- global optimization,
- constrained problems,
- deviation integral,
- cross-entropy method

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References(11)

References

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