Convex programs with an additional reverse convex constraint (Q1071651): Difference between revisions

A method is presented for solving a class of global optimization problems of the form (P): minimize \(f(x)\), subject to \(x\in D\), \(g(x)\geq 0\), where D is a closed convex subset of \(R^ n\) and f, g are convex finite functions on \(R^ n\). Under suitable stability hypotheses, it is shown that a feasible point \(\bar x\) is optimal if and only if \(0=\max \{g(x):\) \(x\in D\), \(f(\bar x)\leq f(x)\}\). On the basis of this optimality criterion, the problem is reduced to a sequence of subproblems \(Q_ k\), \(k=1,2,...\), each of which consists in maximizing the convex function \(g(x)\) over some polyhedron \(S_ k\). The method is similar to the outer approximation method for maximizing a convex function over a compact convex set.