A norm-relaxed method of feasible directions for finely discretized problems from semi-infinite programming (Q2462105)

A class of finely discretized semi-infinite programming problems is discussed. Combining the idea of the norm-relaxed Method of Feasible Directions and the technique of updating the discretization index set, the authors present a new algorithm for solving the Discretized Semi-Infinite problems from SIP. At each iteration, the iteration point is feasible for the discretized problem and the improved search direction is computed by solving only one direction finding subproblem, i.e., a quadratic program. A high-order correction direction can be obtained by solving another quadratic programming subproblem with only equality constraints. Under different conditions, weak global and superlinear convergence has been obtained. Numerical experiments are reported.