penalty methods

http://web.engr.oregonstate.edu/~paasch/classes/me517/week7/penalty.html

Penalty function methods approximate a constrained problem by an unconstrained problem structured such
that minimization favors satisfaction of the constraints.
The general technique is to add to the objective function a term that produces a high cost for violation of
constraints. There are two types of methods:

Interior penalty methods, also known as barrier methods

Exterior penalty methods

General Form
minimize f(x)

subject to h(x)=0
g(x) <= 0
We will reformulate f(x) such that the constraints are part of the objective function. We also want to insure
that the two essential conditions of Lagrange's method hold:

1. If an optimal solution exists that requires the constraint to be tight, then any perturbation away from
constraint activity should be heavily penalized.
2. If an optimal solution dictates the constraint be loose at optimality, the problem should behave as
though it were unconstrained by that constraint.
The reformulated objective function:
minimize:

where:

f(x) is the original objective function

s= +- 1

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penalty methods

http://web.engr.oregonstate.edu/~paasch/classes/me517/week7/penalty.html

ti= scale factor for equality constraints

rk= monotonically increasing or decreasing inequality scale factor
penalty function involving each original inequality constraint
penalty function involving each original equality constraint

This is a generalized equation that represents both interior and exterior methods. The nature of s, r and in the
general formulation depends on whether one wishes to begin with a feasible solution and iterate toward
optimality, or start with an infeasible solution and proceed toward both optimality and feasibility.
The equality scale factor, ti, is the penalty for violation of an equality constraint. In the infinite barrier method,
ti would be set to infinity, approximated numerically by some large number such as 1020. This method does
not work well with inequality constraints.

Example
min f(x)= x2 - 10x
subject to g(x)= x-3 <=0
Penalty method:

The nature of s and r:

If we set s=0, then the modified objective function is the same as the original.
If the constraint is "loose" (inactive) then (x-3) < 0
If the constraint is violated, then (x-3) > 0 and sr should be a large positive quantity in order to incur penalties.
If (x-3) = 0, then the value of s doesn't affect the solution. If s is positive unity (+1), given any particular value
for r, the modified objective function is increased or penalized by any value of (x-3) not equal to zero.
The factor r can be interpreted as a scale factor that controls the actual effect of constraint violations. All cases
can be dealt with by setting s= +1 or -1.

Exterior Penalty Methods

Both conditions are satisfied by the following formulation (referred to as the augmented objective function)

min P(x,r,s)= x2 - 10x + sr(x-3)2

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penalty methods

http://web.engr.oregonstate.edu/~paasch/classes/me517/week7/penalty.html

corresponds to

f(x) + sr(g(x))2
the penalty function is
this is known as the parabolic penalty method.
s is set to +1 because this is an exterior penalty method and the starting point is assumed to be infeasible.
If r=1, then the augmented objective function reduces to

min P(x,r,s)= P(x)= x2 - 10x + (x-3)2

The optimal solution:

This solution violates the constraint. Our penalty scale factor r was not high enough. What if we set r= 100?

min P(x,r,s)= P(x)= x2 - 10x + 100(x-3)2

with the solution:

As r -> infinity, x* -> 3, the true optimal solution. This suggests the exterior penalty algorithm. Start with r= e

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penalty methods

http://web.engr.oregonstate.edu/~paasch/classes/me517/week7/penalty.html

(the error) at the first iteration. If the constraint(s) is not violated, then you have the optimal solution. If the
constraint is violated, increase the value of r until the optimal solution satisfies that constraint in terms of your
acceptance criteria. The iterative solutions are always outside the boundary of feasible points. At each
iteration the objective is increased but drawn closer and closer to the lowest feasible point.

Interior Penalty Methods

1) Inverse penalty:

with s= +1
minimize:

2) Log penalty

with s= -1
minimize:

As r approaches zero, the solution vector approaches x*, the optimal constrained solution.

Example
Consider the previous example, using the logarithmic penalty function.

P(x,r)= x2 -10x -r(ln(-x+3))

The optimal value of x*= 3 can be approached by iteratively decreasing the value of r:

Iteration

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x*

10.0 1.55

5.0 2.13

2.5 2.50

1.0 2.78

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penalty methods

http://web.engr.oregonstate.edu/~paasch/classes/me517/week7/penalty.html

0.5 2.88

0.1 2.98

0.05 2.99

0.01 2.998

Augmented Lagrange Multiplier Method

The augmented Lagrange multiplier method can be used for problems with equality constraints. Add a penalty
term to the Lagrangian:

For

If

this reduces to the exterior penalty method.

we can find the exact solution to the minimization problem with finite r.

The augmented Lagrange multiplier method is iterative:

1) Assume

and r.

2) Minimize
3) Update

and find

and r.

4) Repeat until convergence

Summary

1) Penalty methods transform a constrained minimization problem into a series of unconstrained problems.
2) Exterior penalty methods start at optimal but infeasible points and iterate to feasibility as r -> inf.
3) Interior penalty methods start at feasible but sub-optimal points and iterate to optimality as r -> 0.
4) The methods are iterative, hence the term SUMT, Sequential Unconstrained Minimization Techniques.
5) We start with r reasonable because it makes the problem better conditioned (less sensitive to numerical
round off, etc.) and hence easier to solve.
6) Exterior methods are generally more robust.

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