Journal
OPTIMIZATION LETTERS
Volume 5, Issue 4, Pages 705-716Publisher
SPRINGER HEIDELBERG
DOI: 10.1007/s11590-010-0236-4
Keywords
Semi-infinite programming; Feasible point method; Global optimization
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Discretization methods for semi-infinite programming do not provide a feasible point in a finite number of iterations. We propose a method that computes a feasible point with an objective value better than or equal to a target value f (0) or proves that such a point does not exist. Then a binary search on the space of objective values can be performed to obtain a feasible, epsilon-optimal solution. The algorithm is based on the algorithm proposed in (Blankenship JW, Falk JE in J Optim Theory Appl 19(2):261-281, 1976). Under mild assumptions it terminates in a finite number of iterations.
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