Published Online:https://doi.org/10.1287/mnsc.13.5.344

The non-linear programming problem seeks to maximize a function f(x) where the n component vector x must satisfy certain constraints gi(x) = 0, i = 1, …, m1 and gi(z) ≧ 0, i = m1 + 1, …, m. The algorithm presented in this paper solves the non-linear programming problem by transforming it into a sequence of unconstrained maximization problems. Essentially, a penalty is imposed whenever x does not satisfy the constraints. Although the algorithm appears most useful in the concave case, the convergence proof holds for non-concave functions as well. The algorithm is especially interesting in the concave case because the programming problem reduces to a single unconstrained maximization problem or, at most, to a finite sequence of unconstrained maximization problems. In addition, the paper presents a new class of dual problems, and the algorithm is shown to be a dual feasible method. Another property of the algorithm is that it appears particularly well suited for large-scale problems with a sizable number of constraints.

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