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

MaRDI QIDQ6428003zbMATH OpenFDO

Authors Evren M. Turan, Johannes Jäschke, Rohit Kannan

Publication date 28 February 2023

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)

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.

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