Abstract
We propose a power penalty method for an obstacle problem arising from the discretization of an infinite-dimensional optimization problem involving differential operators in both its objective function and constraints. In this method we approximate the mixed nonlinear complementarity problem (NCP) arising from the KKT conditions of the discretized problem by a nonlinear penalty equation. We then show the solution to the penalty equation converges exponentially to that of the mixed NCP. Numerical results will be presented to demonstrate the theoretical convergence rates of the method.
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Notes
A more rigorous statement is: find \( u\in H^1_0(0,1)\), where \(H^1_0(0,1)\) denotes the usual Sobolev functional space on \((0,1)\) satisfying \(u(0) = u(1) = 0.\)
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Project 11001178 supported by National Natural Science Foundation of China.
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Wang, S. A penalty method for a finite-dimensional obstacle problem with derivative constraints. Optim Lett 8, 1799–1811 (2014). https://doi.org/10.1007/s11590-013-0651-4
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DOI: https://doi.org/10.1007/s11590-013-0651-4