Comparative study of RPSALG algorithm for convex semi-infinite programming


Autoria(s): Auslender, Alfred; Ferrer, Alberto; Goberna, Miguel A.; López Cerdá, Marco A.
Contribuinte(s)

Universidad de Alicante. Departamento de Matemáticas

Laboratorio de Optimización (LOPT)

Data(s)

11/12/2015

11/12/2015

01/01/2015

Resumo

The Remez penalty and smoothing algorithm (RPSALG) is a unified framework for penalty and smoothing methods for solving min-max convex semi-infinite programing problems, whose convergence was analyzed in a previous paper of three of the authors. In this paper we consider a partial implementation of RPSALG for solving ordinary convex semi-infinite programming problems. Each iteration of RPSALG involves two types of auxiliary optimization problems: the first 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 variable. In this paper we tackle the latter problem with a variant of the cutting angle method called ECAM, a global optimization procedure for solving Lipschitz programming problems. We implement different variants of RPSALG which are compared with the unique publicly available SIP solver, NSIPS, on a battery of test problems.

This research was partially supported by MINECO of Spain, Grants MTM2011-29064-C03-01/02.

Identificador

Computational Optimization and Applications. 2015, 60(1): 59-87. doi:10.1007/s10589-014-9667-7

0926-6003 (Print)

1573-2894 (Online)

http://hdl.handle.net/10045/51990

10.1007/s10589-014-9667-7

Idioma(s)

eng

Publicador

Springer Science+Business Media New York

Relação

http://dx.doi.org/10.1007/s10589-014-9667-7

Direitos

© Springer Science+Business Media New York 2014. The final publication is available at Springer via http://dx.doi.org/10.1007/s10589-014-9667-7

info:eu-repo/semantics/openAccess

Palavras-Chave #Convex semi-infinite programming #Remez-type methods #Penalty methods #Smoothing methods #Cutting angle method #Estadística e Investigación Operativa
Tipo

info:eu-repo/semantics/article