6533b7d6fe1ef96bd1266ec6
RESEARCH PRODUCT
On the numerical treatment of linearly constrained semi-infinite optimization problems
S. SanmatiasEnriqueta VercherTeresa Leónsubject
Mathematical optimizationInformation Systems and ManagementOptimization problemGeneral Computer ScienceLinear programmingSemi-infiniteManagement Science and Operations ResearchIndustrial and Manufacturing EngineeringStochastic programmingLinear-fractional programmingModeling and SimulationCriss-cross algorithmExtreme pointDegeneracy (mathematics)Mathematicsdescription
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.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2000-02-01 | European Journal of Operational Research |