Generalized Penalty-Function Concepts in Mathematical Optimization

Published Online:https://doi.org/10.1287/opre.18.2.229

Given a mathematical program, this paper constructs an alternate problem with its feasibility region a superset of the original mathematical program. The objective function of this new problem is constructed so that a penalty is imposed for solutions outside the original feasibility region. One attempts to choose an objective function that makes the optimal solutions to the new problem the same as the optimal solutions to the original mathematical program.

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