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Unified steerable phase I-phase II method of feasible directions for semi-infinite optimization
Authors:E Polak  L He
Institution:(1) Department of Electrical Engineering and Computer Sciences and Electronics Research Laboratory, University of California, Berkeley, California
Abstract:In this paper, we complete a cycle in the construction of methods of feasible directions for solving semi-infinite constrained optimization problems. Earlier phase I-phase II methods of feasible directions used one search direction rule in all of Ropf n with two stepsize rules, one for feasible points and one for infeasible points. The algorithm presented in this paper uses both a single search direction rule and a single stepsize rule in all of Ropf n . In addition, the new algorithm incorporates a steering parameter which can be used to control the speed with which feasibility is achieved. The new algorithm is simpler to analyze and performs somewhat better than existing, first order, phase I-phase II methods. The new algorithm is globally convergent, with linear rate.The research reported herein was sponsored in part by the National Science Foundation Grant ECS-8713334, the Air Force Office of Scientific Research Contract AFOSR-86-0116, and the State of California MICRO Program Grant 532410-19900.The authors would like to thank Dr. J. Higgins for providing the C-code of Algorithm 3.1.
Keywords:Semi-infinite constrained optimization  method of feasible directions  linear convergence
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