RPSALG algorithm for convex semi-infinite programming
Author
Ferrer, A.
Type of activity
Presentation of work at congresses
Name of edition
2013 International Workshop on Simulation-Optimization for Logistics & Production
Date of publication
2013
Presentation's date
2013-11-21
Abstract
In this presentation we consider a partial implementation of RPSALG for solving ordinary convex semi-innite programming problems (CSIP). Each iteration of the algorithm involves two types of auxiliary optimization problems: the rst one consists of obtaining an approximate solution of some discretized convex problem, while the second one requires to solve a non-convex optimization problem involving the parametric constraints as objective function with the parameter as the variable. The main compu...
In this presentation we consider a partial implementation of RPSALG for solving ordinary convex semi-innite programming problems (CSIP). Each iteration of the algorithm involves two types of auxiliary optimization problems: the rst one consists of obtaining an approximate solution of some discretized convex problem, while the second one requires to solve a non-convex optimization problem involving the parametric constraints as objective function with the parameter as the variable. The main computational diculties come from the non-convex optimization problem associated with the constraints, which must be solved eciently at each iteration. In this paper we use the so-called cutting angle method, a global optimization procedure for solving Lipschitz programming problems. We implement dierent variants of RPSALG and the results of a number of test problems are given and discussed.