IDEAS home Printed from https://ideas.repec.org/a/spr/annopr/v271y2018i1d10.1007_s10479-018-2987-8.html
   My bibliography  Save this article

Recent contributions to linear semi-infinite optimization: an update

Author

Listed:
  • M. A. Goberna

    (University of Alicante)

  • M. A. López

    (University of Alicante
    Federation University of Australia)

Abstract

This paper reviews the state-of-the-art in the theory of deterministic and uncertain linear semi-infinite optimization, presents some numerical approaches to this type of problems, and describes a selection of recent applications in a variety of fields. Extensions to related optimization areas, as convex semi-infinite optimization, linear infinite optimization, and multi-objective linear semi-infinite optimization, are also commented.

Suggested Citation

  • M. A. Goberna & M. A. López, 2018. "Recent contributions to linear semi-infinite optimization: an update," Annals of Operations Research, Springer, vol. 271(1), pages 237-278, December.
  • Handle: RePEc:spr:annopr:v:271:y:2018:i:1:d:10.1007_s10479-018-2987-8
    DOI: 10.1007/s10479-018-2987-8
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s10479-018-2987-8
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.

    File URL: https://libkey.io/10.1007/s10479-018-2987-8?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Mohammad R. Oskoorouchi & Hamid R. Ghaffari & Tamás Terlaky & Dionne M. Aleman, 2011. "An Interior Point Constraint Generation Algorithm for Semi-Infinite Optimization with Health-Care Application," Operations Research, INFORMS, vol. 59(5), pages 1184-1197, October.
    2. A. Vaz & Edite Fernandes & M. Gomes, 2003. "A sequential quadratic programming with a dual parametrization approach to nonlinear semi-infinite programming," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 11(1), pages 109-130, June.
    3. İ. Altınel & Bora Çekyay & Orhan Feyzioğlu & M. Keskin & Süleyman Özekici, 2011. "Mission-Based Component Testing for Series Systems," Annals of Operations Research, Springer, vol. 186(1), pages 1-22, June.
    4. M. J. Cánovas & R. Henrion & M. A. López & J. Parra, 2016. "Outer Limit of Subdifferentials and Calmness Moduli in Linear and Nonlinear Programming," Journal of Optimization Theory and Applications, Springer, vol. 169(3), pages 925-952, June.
    5. Sergey Badikov & Antoine Jacquier & Daphne Qing Liu & Patrick Roome, 2017. "No-arbitrage bounds for the forward smile given marginals," Quantitative Finance, Taylor & Francis Journals, vol. 17(8), pages 1243-1256, August.
    6. Xiaojiao Tong & Soon-Yi Wu & Renjun Zhou, 2010. "New approach for the nonlinear programming with transient stability constraints arising from power systems," Computational Optimization and Applications, Springer, vol. 45(3), pages 495-520, April.
    7. Frank H. Clarke, 1976. "A New Approach to Lagrange Multipliers," Mathematics of Operations Research, INFORMS, vol. 1(2), pages 165-174, May.
    8. F. Leibfritz & J. Maruhn, 2009. "A successive SDP-NSDP approach to a robust optimization problem in finance," Computational Optimization and Applications, Springer, vol. 44(3), pages 443-466, December.
    9. Lopez, Marco & Still, Georg, 2007. "Semi-infinite programming," European Journal of Operational Research, Elsevier, vol. 180(2), pages 491-518, July.
    10. Goberna, M.A. & Jeyakumar, V. & Li, G. & Vicente-Pérez, J., 2018. "Guaranteeing highly robust weakly efficient solutions for uncertain multi-objective convex programs," European Journal of Operational Research, Elsevier, vol. 270(1), pages 40-50.
    11. M. D. Fajardo & M. A. López, 1999. "Locally Farkas–Minkowski Systems in Convex Semi-Infinite Programming," Journal of Optimization Theory and Applications, Springer, vol. 103(2), pages 313-335, November.
    12. M. J. Cánovas & A. Hantoute & J. Parra & F. J. Toledo, 2014. "Calmness of the Argmin Mapping in Linear Semi-Infinite Optimization," Journal of Optimization Theory and Applications, Springer, vol. 160(1), pages 111-126, January.
    13. İ. Altinel & Bora Çekyay & Orhan Feyzio[gtilde]lu & M. Keskin & Süleyman Özekici, 2013. "The design of mission-based component test plans for series connection of subsystems," IISE Transactions, Taylor & Francis Journals, vol. 45(11), pages 1202-1220.
    14. Feyzioglu, Orhan & Altinel, I. Kuban & Ozekici, Suleyman, 2008. "Optimum component test plans for phased-mission systems," European Journal of Operational Research, Elsevier, vol. 185(1), pages 255-265, February.
    15. Goberna, M.A. & Gomez, S. & Guerra, F. & Todorov, M.I., 2007. "Sensitivity analysis in linear semi-infinite programming: Perturbing cost and right-hand-side coefficients," European Journal of Operational Research, Elsevier, vol. 181(3), pages 1069-1085, September.
    16. Edward J. Anderson & Miguel A. Goberna & Marco A. López, 2001. "Simplex-Like Trajectories on Quasi-Polyhedral Sets," Mathematics of Operations Research, INFORMS, vol. 26(1), pages 147-162, February.
    17. A. Charnes & W. W. Cooper & K. O. Kortanek, 1969. "On the theory of semi‐infinite programming and a generalization of the kuhn‐tucker saddle point theorem for arbitrary convex functions," Naval Research Logistics Quarterly, John Wiley & Sons, vol. 16(1), pages 41-52, March.
    18. Goberna, M.A. & Jeyakumar, V. & Li, G. & Vicente-Pérez, J., 2015. "Robust solutions to multi-objective linear programs with uncertain data," European Journal of Operational Research, Elsevier, vol. 242(3), pages 730-743.
    19. M. A. Goberna & T. Terlaky & M. I. Todorov, 2010. "Sensitivity Analysis in Linear Semi-Infinite Programming via Partitions," Mathematics of Operations Research, INFORMS, vol. 35(1), pages 14-26, February.
    20. Alfred Auslender & Miguel A. Goberna & Marco A. López, 2009. "Penalty and Smoothing Methods for Convex Semi-Infinite Programming," Mathematics of Operations Research, INFORMS, vol. 34(2), pages 303-319, May.
    21. A. Auslender & A. Ferrer & M. Goberna & M. López, 2015. "Comparative study of RPSALG algorithm for convex semi-infinite programming," Computational Optimization and Applications, Springer, vol. 60(1), pages 59-87, January.
    22. Robert J. Vanderbei, 1995. "Affine-Scaling Trajectories Associated with a Semi-Infinite Linear Program," Mathematics of Operations Research, INFORMS, vol. 20(1), pages 163-174, February.
    23. Lou, Yingyan & Yin, Yafeng & Lawphongpanich, Siriphong, 2010. "Robust congestion pricing under boundedly rational user equilibrium," Transportation Research Part B: Methodological, Elsevier, vol. 44(1), pages 15-28, January.
    24. Diego Klabjan & Daniel Adelman, 2007. "An Infinite-Dimensional Linear Programming Algorithm for Deterministic Semi-Markov Decision Processes on Borel Spaces," Mathematics of Operations Research, INFORMS, vol. 32(3), pages 528-550, August.
    25. Audy, Jean-François & D’Amours, Sophie & Rönnqvist, Mikael, 2012. "An empirical study on coalition formation and cost/savings allocation," International Journal of Production Economics, Elsevier, vol. 136(1), pages 13-27.
    26. Uhan, Nelson A., 2015. "Stochastic linear programming games with concave preferences," European Journal of Operational Research, Elsevier, vol. 243(2), pages 637-646.
    27. T. D. Chuong & V. Jeyakumar, 2017. "An Exact Formula for Radius of Robust Feasibility of Uncertain Linear Programs," Journal of Optimization Theory and Applications, Springer, vol. 173(1), pages 203-226, April.
    28. András Prékopa & Anh Ninh & Gabriela Alexe, 2016. "On the relationship between the discrete and continuous bounding moment problems and their numerical solutions," Annals of Operations Research, Springer, vol. 238(1), pages 521-575, March.
    29. Emre Yamangil & İ. Altınel & Bora Çekyay & Orhan Feyziog[gtilde]lu & Süleyman Özekici, 2011. "Design of optimum component test plans in the demonstration of diverse system performance measures," IISE Transactions, Taylor & Francis Journals, vol. 43(7), pages 535-546.
    30. Zhu, Y. & Huang, G.H. & Li, Y.P. & He, L. & Zhang, X.X., 2011. "An interval full-infinite mixed-integer programming method for planning municipal energy systems - A case study of Beijing," Applied Energy, Elsevier, vol. 88(8), pages 2846-2862, August.
    31. Levent Tunçel & Michael J. Todd, 1996. "Asymptotic Behavior of Interior-Point Methods: A View From Semi-Infinite Programming," Mathematics of Operations Research, INFORMS, vol. 21(2), pages 354-381, May.
    32. András Prékopa & Anh Ninh & Gabriela Alexe, 2016. "On the relationship between the discrete and continuous bounding moment problems and their numerical solutions," Annals of Operations Research, Springer, vol. 238(1), pages 521-575, March.
    33. Goberna, M.A. & Guerra-Vazquez, F. & Todorov, M.I., 2016. "Constraint qualifications in convex vector semi-infinite optimization," European Journal of Operational Research, Elsevier, vol. 249(1), pages 32-40.
    34. Amitabh Basu & Kipp Martin & Christopher Thomas Ryan, 2015. "Projection: A Unified Approach to Semi-Infinite Linear Programs and Duality in Convex Programming," Mathematics of Operations Research, INFORMS, vol. 40(1), pages 146-170, February.
    35. Qinghong Zhang, 2017. "Strong Duality and Dual Pricing Properties in Semi-Infinite Linear Programming: A non-Fourier–Motzkin Elimination Approach," Journal of Optimization Theory and Applications, Springer, vol. 175(3), pages 702-717, December.
    36. Archis Ghate & Dushyant Sharma & Robert L. Smith, 2010. "A Shadow Simplex Method for Infinite Linear Programs," Operations Research, INFORMS, vol. 58(4-part-1), pages 865-877, August.
    37. A. Charnes & W. W. Cooper & K. Kortanek, 1965. "On Representations of Semi-Infinite Programs which Have No Duality Gaps," Management Science, INFORMS, vol. 12(1), pages 113-121, September.
    38. Goberna, M.A. & Guerra-Vazquez, F. & Todorov, M.I., 2013. "Constraint qualifications in linear vector semi-infinite optimization," European Journal of Operational Research, Elsevier, vol. 227(1), pages 12-21.
    39. Stein, Oliver, 2012. "How to solve a semi-infinite optimization problem," European Journal of Operational Research, Elsevier, vol. 223(2), pages 312-320.
    40. E. González-Gutiérrez & L. Hernández Rebollar & Maxim Todorov, 2012. "Relaxation methods for solving linear inequality systems: converging results," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 20(2), pages 426-436, July.
    41. S. Å. Gustafson & K. O. Kortanek, 1973. "Numerical treatment of a class of semi‐infinite programming problems," Naval Research Logistics Quarterly, John Wiley & Sons, vol. 20(3), pages 477-504, September.
    42. R. J. Duffin & L. A. Karlovitz, 1965. "An Infinite Linear Program with a Duality Gap," Management Science, INFORMS, vol. 12(1), pages 122-134, September.
    43. Faizan Ahmed & Mirjam Dür & Georg Still, 2013. "Copositive Programming via Semi-Infinite Optimization," Journal of Optimization Theory and Applications, Springer, vol. 159(2), pages 322-340, November.
    44. Nichalin Suakkaphong & Moshe Dror, 2011. "Managing decentralized inventory and transshipment," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 19(2), pages 480-506, December.
    45. J. Lasserre, 2012. "An algorithm for semi-infinite polynomial optimization," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 20(1), pages 119-129, April.
    46. Javier Pena & Juan Vera & Luis Zuluaga, 2010. "Static-arbitrage lower bounds on the prices of basket options via linear programming," Quantitative Finance, Taylor & Francis Journals, vol. 10(8), pages 819-827.
    47. He, Li & Huang, Guo H. & Lu, Hongwei, 2011. "Bivariate interval semi-infinite programming with an application to environmental decision-making analysis," European Journal of Operational Research, Elsevier, vol. 211(3), pages 452-465, June.
    48. M. A. Goberna & M. A. López, 2017. "Recent contributions to linear semi-infinite optimization," 4OR, Springer, vol. 15(3), pages 221-264, September.
    49. A. Charnes & W. W. Cooper & K. Kortanek, 1963. "Duality in Semi-Infinite Programs and Some Works of Haar and Carathéodory," Management Science, INFORMS, vol. 9(2), pages 209-228, January.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Balendu Bhooshan Upadhyay & Arnav Ghosh & Savin Treanţă, 2024. "Efficiency conditions and duality for multiobjective semi-infinite programming problems on Hadamard manifolds," Journal of Global Optimization, Springer, vol. 89(3), pages 723-744, July.
    2. Yuen, Robert & Stoev, Stilian & Cooley, Daniel, 2020. "Distributionally robust inference for extreme Value-at-Risk," Insurance: Mathematics and Economics, Elsevier, vol. 92(C), pages 70-89.
    3. Souvik Das & Ashwin Aravind & Ashish Cherukuri & Debasish Chatterjee, 2022. "Near-optimal solutions of convex semi-infinite programs via targeted sampling," Annals of Operations Research, Springer, vol. 318(1), pages 129-146, November.
    4. Feng Guo & Liguo Jiao, 2021. "On solving a class of fractional semi-infinite polynomial programming problems," Computational Optimization and Applications, Springer, vol. 80(2), pages 439-481, November.
    5. Ariel Neufeld & Antonis Papapantoleon & Qikun Xiang, 2020. "Model-free bounds for multi-asset options using option-implied information and their exact computation," Papers 2006.14288, arXiv.org, revised Jan 2022.
    6. Le Thanh Tung, 2022. "Karush–Kuhn–Tucker optimality conditions and duality for multiobjective semi-infinite programming with vanishing constraints," Annals of Operations Research, Springer, vol. 311(2), pages 1307-1334, April.
    7. Bo Wei & William B. Haskell & Sixiang Zhao, 2020. "The CoMirror algorithm with random constraint sampling for convex semi-infinite programming," Annals of Operations Research, Springer, vol. 295(2), pages 809-841, December.
    8. Goberna, M.A. & Jeyakumar, V. & Li, G. & Vicente-Pérez, J., 2022. "The radius of robust feasibility of uncertain mathematical programs: A Survey and recent developments," European Journal of Operational Research, Elsevier, vol. 296(3), pages 749-763.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. M. A. Goberna & M. A. López, 2017. "Recent contributions to linear semi-infinite optimization," 4OR, Springer, vol. 15(3), pages 221-264, September.
    2. Qinghong Zhang, 2017. "Strong Duality and Dual Pricing Properties in Semi-Infinite Linear Programming: A non-Fourier–Motzkin Elimination Approach," Journal of Optimization Theory and Applications, Springer, vol. 175(3), pages 702-717, December.
    3. Bo Wei & William B. Haskell & Sixiang Zhao, 2020. "The CoMirror algorithm with random constraint sampling for convex semi-infinite programming," Annals of Operations Research, Springer, vol. 295(2), pages 809-841, December.
    4. Ariel Neufeld & Antonis Papapantoleon & Qikun Xiang, 2023. "Model-Free Bounds for Multi-Asset Options Using Option-Implied Information and Their Exact Computation," Management Science, INFORMS, vol. 69(4), pages 2051-2068, April.
    5. Goberna, M.A. & Jeyakumar, V. & Li, G. & Vicente-Pérez, J., 2022. "The radius of robust feasibility of uncertain mathematical programs: A Survey and recent developments," European Journal of Operational Research, Elsevier, vol. 296(3), pages 749-763.
    6. Feng Guo & Liguo Jiao, 2021. "On solving a class of fractional semi-infinite polynomial programming problems," Computational Optimization and Applications, Springer, vol. 80(2), pages 439-481, November.
    7. Miguel Goberna, 2012. "Comments on: Stability in linear optimization and related topics. A personal tour," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 20(2), pages 245-249, July.
    8. Marendet, Antoine & Goldsztejn, Alexandre & Chabert, Gilles & Jermann, Christophe, 2020. "A standard branch-and-bound approach for nonlinear semi-infinite problems," European Journal of Operational Research, Elsevier, vol. 282(2), pages 438-452.
    9. Goberna, M.A. & Jeyakumar, V. & Li, G. & Vicente-Pérez, J., 2018. "Guaranteeing highly robust weakly efficient solutions for uncertain multi-objective convex programs," European Journal of Operational Research, Elsevier, vol. 270(1), pages 40-50.
    10. Qinghong Zhang, 2008. "Uniform LP duality for semidefinite and semi-infinite programming," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 16(2), pages 205-213, June.
    11. Groetzner, Patrick & Werner, Ralf, 2022. "Multiobjective optimization under uncertainty: A multiobjective robust (relative) regret approach," European Journal of Operational Research, Elsevier, vol. 296(1), pages 101-115.
    12. Feng Guo & Xiaoxia Sun, 2020. "On semi-infinite systems of convex polynomial inequalities and polynomial optimization problems," Computational Optimization and Applications, Springer, vol. 75(3), pages 669-699, April.
    13. A. Ferrer & M. A. Goberna & E. González-Gutiérrez & M. I. Todorov, 2017. "A comparative note on the relaxation algorithms for the linear semi-infinite feasibility problem," Annals of Operations Research, Springer, vol. 258(2), pages 587-612, November.
    14. Chuong, T.D. & Jeyakumar, V., 2017. "Convergent hierarchy of SDP relaxations for a class of semi-infinite convex polynomial programs and applications," Applied Mathematics and Computation, Elsevier, vol. 315(C), pages 381-399.
    15. Edward J. Anderson & Miguel A. Goberna & Marco A. López, 2001. "Simplex-Like Trajectories on Quasi-Polyhedral Sets," Mathematics of Operations Research, INFORMS, vol. 26(1), pages 147-162, February.
    16. Glover, Fred & Sueyoshi, Toshiyuki, 2009. "Contributions of Professor William W. Cooper in Operations Research and Management Science," European Journal of Operational Research, Elsevier, vol. 197(1), pages 1-16, August.
    17. Anh Ninh & Benjamin Melamed & Yao Zhao, 2020. "Analysis and optimization of recruitment stocking problems," Annals of Operations Research, Springer, vol. 295(2), pages 747-767, December.
    18. Li Wang & Feng Guo, 2014. "Semidefinite relaxations for semi-infinite polynomial programming," Computational Optimization and Applications, Springer, vol. 58(1), pages 133-159, May.
    19. Cao Thanh Tinh & Thai Doan Chuong, 2022. "Conic Linear Programming Duals for Classes of Quadratic Semi-Infinite Programs with Applications," Journal of Optimization Theory and Applications, Springer, vol. 194(2), pages 570-596, August.
    20. Lopez, Marco & Still, Georg, 2007. "Semi-infinite programming," European Journal of Operational Research, Elsevier, vol. 180(2), pages 491-518, July.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:annopr:v:271:y:2018:i:1:d:10.1007_s10479-018-2987-8. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.