Finance Notes_Part_33

Finance Notes_Part_33 - Filter approach to constraints...

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Unformatted text preview: Filter approach to constraints (Based on Fletcher - Leyffer) min x f ( x ) The extreme barrier handles the closed and hidden constraints X . A filter handles C ( x ) . Define the nonnegative constraint violation function h ( x ) := X j max(0 ,c j ( x )) 2 if x X and f ( x ) < , open constraints + otherwise. closed constraints h ( x ) = 0 if and only if x . The constrained optimization problem is then viewed as a biobjective one: to minimize f and h , with a priority to h . This allows trial points that violate the open constraints. Audet and Vicente (SIOPT 2008) Optimization under general constraints 82/109 Filter approach to constraints . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ....
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This document was uploaded on 10/30/2011 for the course FIN 3403 at University of Florida.

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Finance Notes_Part_33 - Filter approach to constraints...

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