penalty algorithm

One of the ways of replacing a constrained optimization problem with an unconstrained one is by adding a penalty function to the objective function that depends - in some logical way - on the value of the constraints.

The idea is to minimize a sequence of unconstrained minimization problems where the infeasibility of the constraints is minimized together with the objective function.

see http://mdolab.utias.utoronto.ca/aer1415.html for details.



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