Exactness Conditions for a Convex Differentiable Exterior Penalty for Linear Programming
Abstract
Sufficient conditions are given for a classical dual exterior penalty
function of a linear program to be independent of its penalty parameter.
This ensures that an exact solution to the primal linear program can be
obtained by minimizing the dual exterior penalty function. The sufficient
conditions give a precise value to such a penalty parameter introduced in
(Mangasarian, 2005), where no quantification of the parameter was given.
Computational results on linear programs with up to one million variables
or constraints compare favorably to CPLEX 9.0 (ILO, 2003) and validate
the proposed approach.
Subject
explicit penalty parameter magnitude
exact penalty function
linear programming
Permanent Link
http://digital.library.wisc.edu/1793/64344Citation
07-01