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

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 compar…