Inner approximation method for a reverse convex programming problem (Q5925727)

A nonlinear programming problem is considered whose objective function is convex, and feasible region is intersection of a convex set and a reverse convex set, which is defined by the complement of the interior of a compact convex set \(X\). The algorithm is based on an inner approximation of \(X\) by a sequence of polytopes. At each iteration of the proposed algorithm an approximate solution of a convex minimization problem should be found. By means of a penalty function the auxiliary convex problem is transformed into an unconstrained problem which is easy to solve. It is shown that every accumulation point of the sequence of optimal solutions of the relaxed problems is an optimal solution of the original problem.