A smoothing approach for the optimal parameter selection problem with continuous inequality constraint

Abstract

In this paper, we consider a class of optimal parameter selection problems with continuous inequality constraints. By introducing a smoothing parameter, we formulate a sequence of KKT (Karush-Kuhn-Tucker) systems of this problem and then transform it into a system of constrained nonlinear equations. Then, the first- and second-order gradients formulae of the cost functional and the constraints are derived. On this basis, a smoothing projected Newton-type algorithm is developed to solving this system of nonlinear equations. To illustrate the effectiveness of the proposed method, some numerical results are solved and presented.

Keywords:

• KKT system
• projected Newton-type algorithm
• optimal parameter selection problem
• continuous inequality constraint

AMS Subject Classification:

• 93-04
• 49M37
• 90C34