Penalty method 2026-10-31
A penalty method incorporates constraint violation into the objective with a parameter controlling its cost. For an equality constraint , the quadratic penalty method adds a multiple of ; a power penalty uses higher even powers. The penalty can allow infeasible iterates while encouraging feasibility as the cost grows. This differs from a logarithmic barrier, whose domain itself excludes the constraint boundary and exterior. Existence of a penalized stationary point, convergence of its constraint violation and convergence of the primal points are separate questions.
At a stationary point of the power penalty, define the displayed multiplier estimates. Its stationarity equation becomes . If and these multipliers are bounded, then each . Along any convergent primal subsequence, a further multiplier subsequence converges and yields equality-constrained first-order KKT conditions at the limit. This is a statement about finite cluster points: bounded multipliers alone do not prove convergence or boundedness of the primal iterates.