A New Exchange Method for Convex Semi-Infinite Programming

In this paper we propose a new exchange method for solving convex semi-infinite programming (CSIP) problems. We introduce a new dropping-rule in the proposed exchange algorithm, which only keeps those active constraints with positive Lagrange multipliers. Moreover, we exploit the idea of looking for -infeasible indices of the lower level problem as the adding-rule in our algorithm. Hence the algorithm does not require to solve a maximization problem over the index set at each iteration; it only needs to find some points such that a certain computationally-easy criterion is satisfied. Under some reasonable conditions, the new adding-dropping rule guarantees that our algorithm provides an approximate optimal solution for the CSIP problem in a finite number of iterations. In the numerical experiments, we apply the proposed algorithm to solve some test problems from the literature, including some medium-sized problems from complex approximation theory and FIR filter design. We compare our ...

• Type: Journal
• Year: 2010
• Where: SIAMJO
• Authors: Liping Zhang, Soon-Yi Wu, Marco A. López
• Keywords: Algorithms, Complex Approximation Theory, FIR Filter Design, SIAMJO 2010