Discontinuous penalty approach with deviation integral for global constrained minimization

作者：Chen Liu^*; Yao Yi rong; Zheng Quan

来源：Applied Mathematics and Mechanics (English Edition ), 2009, 30(9): 1201-1210.

DOI：10.1007/s10483-009-0915-x

• global optimization
• constrained problems
• deviation integral
• cross-entropy method

In this paper, we use the discontinuous exact penalty functions to solve the constrained minimization problems with an integral approach. We examine a general form of the constrained deviation integral and its analytical properties. The optimality conditions of the penalized minimization problems are proven. To implement the algorithm, the cross-entropy method and the importance sampling are used based on the Monte-Carlo technique. Numerical tests show the effectiveness of the proposed algorithm.

• 出版日期2009-9
• 单位上海大学