Optimality-Based Discretization Methods for the Global Optimization of Nonconvex Semi-Infinite Programs

arXiv2303.00219MaRDI QIDQ6428003FDOQ6428003

Authors: Evren M. Turan, Johannes Jäschke, Rohit Kannan 

Publication date: 28 February 2023

Abstract: We use sensitivity analysis to design $extitoptimality-based$ discretization (cutting-plane) methods for the global optimization of nonconvex semi-infinite programs (SIPs). We begin by formulating the optimal discretization of SIPs as a max-min problem and propose variants that are more computationally tractable. We then use parametric sensitivity theory to design an efficient method for solving these max-min problems to local optimality and argue this yields valid discretizations without sacrificing global optimality guarantees. Finally, we formulate optimality-based $extitgeneralized$ discretization of SIPs as max-min problems and design efficient local optimization algorithms to solve them approximately. Numerical experiments on test instances from the literature demonstrate that our new optimality-based discretization methods can significantly reduce the number of iterations for convergence relative to the classical feasibility-based method.

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Nonconvex programming, global optimization (90C26) Sensitivity, stability, parametric optimization (90C31) Minimax problems in mathematical programming (90C47) Semi-infinite programming (90C34)

This page was built for publication: Optimality-Based Discretization Methods for the Global Optimization of Nonconvex Semi-Infinite Programs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6428003)