Fletcher's penalty function is a smooth exact penalty method for solving problems of the form
min_x f(x) subject to c(x) = 0, l <= x <= u
It is based on the smooth penalty function originally introduced by Fletcher in the 1970's [1].
Hosted on ReadTheDocs.
FletcherPenalty requires:
- optimizers/model to define the optimization problems,
- SuiteSparse for sparse factorizations, and
- BCFLASH as one possible subsolver.
Once the dependencies are installed, then installation involves cloning this repository and adding it (and the dependencies) to Matlab's path.
[1] R. Fletcher. A class of methods for nonlinear programming with termination and convergence properties. In J. Abadie, editor, Integer and nonlinear programming, pages 157-175. North-Holland, Amsterdam, 1970.