Interior point filter method for semi-infinite programming problems

• Main Author: Pereira, Ana I.
• Publication Date: 2011
• Other Authors: Costa, M. Fernanda P., Fernandes, Edite M.G.P.
• Format: Article
• Language: eng
• Source: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
• Download full: http://hdl.handle.net/10198/7531
• topic: Nonlinear optimization; Semi-infinite programming; Interior point method; Filter method; Line search technique

Semi-infinite programming (SIP) problems can be efficiently solved by reduction-type methods. Here, we present a new reduction method for SIP, where the multi-local optimization is carried out with a stretched simulated annealing algorithm, the reduced (finite) problem is approximately solved by a Newton’s primal–dual interior point method that uses a novel twodimensional filter line search strategy to guarantee the convergence to a KKT point that is a minimizer, and the global convergence of the overall reduction method is promoted through the implementation of a classical two-dimensional filter line search. Numerical experiments with a set of well-known problems are shown.