Feasible Method for Generalized Semi-Infinite Programming |
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Authors: | O Stein A Winterfeld |
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Institution: | 1.Institute of Operations Research,Karlsruhe Institute of Technology,Karlsruhe,Germany;2.Fraunhofer Institut für Techno- und Wirtschaftsmathematik,Kaiserslautern,Germany |
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Abstract: | In this paper, we analyze the outer approximation property of the algorithm for generalized semi-infinite programming from
Stein and Still (SIAM J. Control Optim. 42:769–788, 2003). A simple bound on the regularization error is found and used to formulate a feasible numerical method for generalized semi-infinite programming with convex lower-level problems. That is, all iterates of the
numerical method are feasible points of the original optimization problem. The new method has the same computational cost
as the original algorithm from Stein and Still (SIAM J. Control Optim. 42:769–788, 2003). We also discuss the merits of this approach for the adaptive convexification algorithm, a feasible point method for standard
semi-infinite programming from Floudas and Stein (SIAM J. Optim. 18:1187–1208, 2007). |
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