Abstract
We develop a power penalty approach to a finite-dimensional double obstacle problem. This problem is first approximated by a system of nonlinear equations containing two penalty terms. We show that the solution to this penalized equation converges to that of the original obstacle problem at an exponential rate when the coefficient matrices are M-matrices. Numerical examples are presented to confirm the theoretical findings and illustrate the efficiency and effectiveness of the new method.
| Original language | English |
|---|---|
| Pages (from-to) | 1261-1274 |
| Number of pages | 14 |
| Journal | Journal of Industrial and Management Optimization |
| Volume | 18 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - Mar 2022 |
Keywords
- Complementarity problem
- Convergence rate
- Double obstacle problem
- Numerical optimization
- Penalty method
ASJC Scopus subject areas
- Business and International Management
- Strategy and Management
- Control and Optimization
- Applied Mathematics