An exact penalty function for semi-infinite programming

This paper introduces a global approach to the semi-infinite programming problem that is based upon a generalisation of the ℓ1 exact penalty function. The advantages are that the ensuing penalty function is exact and the penalties include all violations. The merit function requires integrals for the penalties, which provides a consistent model for the algorithm. The discretization is a result of the approximate quadrature rather than an a priori aspect of the model.

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