Maximum Penalty Function in Linear Programming

A linear program can be equivalently reformulated as an unconstrained nonsmooth minimization problem, whose objective is the sum of the original objective and a penalty function with a sufficiently large penalty parameter. The article presents two methods for choosing this parameter. The first one applies to linear programs with usual linear inequality constraints. Then, we use a corresponding theorem by N.Z. Shor on the equivalence of a convex program to an unconstrained nonsmooth minimization problem. The second method is for linear programs of a special type. This means that all inequalities are of the form that a linear expression on the left-hand side is less or equal to a positive constant on the right-hand side. For this special type, we use a corresponding theorem of B.N. Pshenichny on establishing a penalty parameter for convex programs. For differently sized linear programs of the special type, we demonstrate that suitable penalty parameters can be computed by a procedure in GNU Octave based on GLPK software.