A note on an implementation of a method for quadratic semi-infinite programming (Q913660): Difference between revisions

The authors consider the following convex quadratic semi-infinite optimization problem: \[ \text{Minimize } F(x)=c^ Tx+x^ TCx, \] \[ \text{subject to }x^ Ta(t)\leq b(t)\text{ for all }t\in T. \] Here, \(c\in R^ n\) and C is a real \(n\times n\) matrix which is assumed to be positive semi-definite. T may be a compact, or finite or infinite set. A first coarse grid is successively refined in such a way that the solution on the foregoing grids can be used on the one hand as starting points for the subsequent grids and on the other hand to considerably reduce the number of constraints which have to be considered in the subsequent problems. This enables an efficient treatment of large problems with moderate storage requirements. A modification of a program supplied by \textit{M. J. D. Powell} [Math. Program. Study 25, 46-61 (1985; Zbl 0584.90069)] has been used to solve the discretized QP-subproblems.