On the numerical treatment of linearly constrained semi-infinite optimization problems

On the numerical treatment of linearly constrained semi-infinite optimization problems

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Article ID: iaor2001479
Country: Netherlands
Volume: 121
Issue: 1
Start Page Number: 78
End Page Number: 91
Publication Date: Feb 2000
Journal: European Journal of Operational Research
Authors: , ,
Keywords: programming: linear
Abstract:

We consider the application of two primal algorithms to solve linear semi-infinite programming problems depending on a real parameter. Combining a simplex-type strategy with a feasible-direction scheme we obtain a descent algorithm which enables us to manage the degeneracy of the extreme points efficiently. The second algorithm runs a feasible-direction method first and then switches to the purification procedure. The linear programming subproblems that yield the search direction involve only a small subset of the constraints. These subsets are updated at each iteration using a multi-local optimization algorithm. Numerical test examples, taken from the literature in order to compare the numerical effort with other methods, show the efficiency of the proposed algorithms.

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