Hande Benson | Drexel University
address: Decision Sciences Dept, LeBow College of Business, Drexel University, Philadelphia, PA 19104
phone: 215.895.6999 | email: hvb22@drexel.edu
website: http://www.pages.drexel.edu/~hvb22/


Title: Penalty Methods in Interior-Point Algorithms

Abstract
Nonlinear programming algorithms that use an interior-point approach suffer on problems with unbounded Lagrange multipliers. Among such problems are mathematical programs with equilibrium constraints (MPECs). We use a penalty method to overcome the issue of unbounded Lagrange multipliers and report on numerical results on both MPECs and general NLPs. Other benefits of using penalty methods and the handling of the penalty term are also discussed.