A smoothing approach for the optimal parameter selection problem with continuous inequality constraint
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Authors
Feng, Z.
Yiu, K.
Teo, Kok Lay
Date
2013Type
Journal Article
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Feng, Z.G. and Yiu, K.F. and Teo, K.L. 2013. A smoothing approach for the optimal parameter selection problem with continuous inequality constraint. Optimization Methods and Software. 28 (4): pp. 689-705.
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Optimization Methods and Software
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Abstract
In this paper, we consider a class of optimal parameter selection problems with continuous inequality constraints. By introducing a smoothing parameter, we formulate a sequence of KKT (Karush-Kuhn-Tucker) systems of this problem and then transform it into a system of constrained nonlinear equations. Then, the first- and second-order gradients formulae of the cost functional and the constraints are derived. On this basis, a smoothing projected Newton-type algorithm is developed to solving this system of nonlinear equations. To illustrate the effectiveness of the proposed method, some numerical results are solved and presented.
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