An accelerated central cutting plane algorithm for linear semi-infinite programming

Authors:
Bruno Betrò
Affiliations:
CNR-IMATI, Via Bassini 15, 20133, Milano, Italy
Venue:
Mathematical Programming: Series A and B
Year:
2004

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Abstract

An algorithm for linear semi-infinite programming is presented which accelerates the convergence of the central cutting plane algorithm first proposed in [4]. Compared with other algorithms, the algorithm in [4] has the advantage of being applicable under mild conditions and of providing feasible solutions. However its convergence has been shown to be rather slow in practical instances. The algorithm proposed in this paper introduces a simple acceleration scheme which gives faster convergence, as confirmed by several examples, as well as an interval of prefixed length containing the optimum value. It is also shown that the algorithm provides a solution of the dual problem and that it can be used for convex semi-infinite programming too.