[solver] implement steered exact penalty methods

accosmin-org / libnano

C++ numerical optimization and machine learning utilities using Eigen3

MIT License

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Open accosmin opened 2 years ago

accosmin commented 2 years ago

reason: theoretically sound strategy to adjust the penalty coefficient
see: "Steering exact penalty methods for nonlinear programming", Byrd, Nocedal & Waltz, 2007
see: "A line search exact penalty method using steering rules", Byrd, Lopez-Calva & Waltz, 2009
needs efficient linear and quadratic optimization utilities