Article ID: | iaor20003027 |
Country: | United Kingdom |
Volume: | 38 |
Issue: | 3/4 |
Start Page Number: | 23 |
End Page Number: | 33 |
Publication Date: | Aug 1999 |
Journal: | Computers & Mathematics with Applications |
Authors: | Fang S.-C., Wu Soon-Yi |
One of the major computational bottlenecks of using the conventional cutting plane approach to solve convex programming problems with infinitely many linear constraints lies in finding a global optimizer of a nonlinear and nonconvex program. This paper presents a relaxed scheme to generate a new cut. In each iteration, the proposed scheme chooses a point at which the constraints are violated to a degree rather than at which the violation is maximized. A convergence proof is provided. The proposed scheme also exhibits the capability of generating an approximate solution to any level of accuracy in a finite number of iterations.