Global optimization of generalized semi-infinite programs via restriction of the right hand side

Autor: Alexander Mitsos, Angelos Tsoukalas
Rok vydání: 2014
Předmět:
Zdroj: Journal of Global Optimization. 61:1-17
ISSN: 1573-2916
0925-5001
Popis: The algorithm proposed in Mitsos (Optimization 60(10---11):1291---1308, 2011) for the global optimization of semi-infinite programs is extended to the global optimization of generalized semi-infinite programs. No convexity or concavity assumptions are made. The algorithm employs convergent lower and upper bounds which are based on regular (in general nonconvex) nonlinear programs (NLP) solved by a (black-box) deterministic global NLP solver. The lower bounding procedure is based on a discretization of the lower-level host set; the set is populated with Slater points of the lower-level program that result in constraint violations of prior upper-level points visited by the lower bounding procedure. The purpose of the lower bounding procedure is only to generate a certificate of optimality; in trivial cases it can also generate a global solution point. The upper bounding procedure generates candidate optimal points; it is based on an approximation of the feasible set using a discrete restriction of the lower-level feasible set and a restriction of the right-hand side constraints (both lower and upper level). Under relatively mild assumptions, the algorithm is shown to converge finitely to a truly feasible point which is approximately optimal as established from the lower bound. Test cases from the literature are solved and the algorithm is shown to be computationally efficient.
Databáze: OpenAIRE
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