A New Quadratic Semi-infinite Programming Algorithm Based on Dual Parametrization

Authors:
Y. Liu;K. L. Teo;S. Y. Wu
Affiliations:
Department of Applied Mathematics, Hong Kong Polytechnic University, Hung Hom, Kowloon, Hong Kong, P.R. China;Department of Applied Mathematics, and Center for Multimedia Signal Processing, Department of Electric and Information Engineering, The Hong Kong Polytechnic University, Hung Hom, Kowloon, Hong Ko ...;Department of Mathematics, National Cheng Kong University, Tainan, Taiwan
Venue:
Journal of Global Optimization
Year:
2004

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Abstract

The so called dual parameterization method for quadratic semi-infinite programming (SIP) problems is developed recently. A dual parameterization algorithm is also proposed for numerical solution of such problems. In this paper, we present and improved adaptive algorithm for quadratic SIP problems with positive definite objective and multiple linear infinite constraints. In each iteration of the new algorithm, only a quadratic programming problem with a limited dimension and a limited number of constraints is required to be solved. Furthermore, convergence result is given. The efficiency of the new algorithm is shown by solving a number of numerical examples.