An interior-point method for semi-infinite programming problems |
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Authors: | Ulrich Schättler |
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Affiliation: | (1) Research Department of the German Meteorological Service, Frankfurter Straße 135, D-63067 Offenbach, Germany |
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Abstract: | This work examines the generalization of a certain interior-point method, namely the method of analytic centers, to semi-infinite linear programming problems. We define an analytic center for these problems and an appropriate norm to examine Newton's method for computing this center. A simple algorithm of order zero is constructed and a convergence proof for that algorithm is given. Finally, we describe a more practical implementation of a predictor-corrector method and give some numerical results. In particular we concentrate on practical integration rules that take care of the specific structure of the integrals. |
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Keywords: | Semi-infinite programming interior-point methods analytic centers Newton's method |
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