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A hybrid discretization algorithm with guaranteed feasibility for the global solution of semi-infinite programs

Author

Listed:
  • Hatim Djelassi

    (AVT Process Systems Engineering (SVT), RWTH Aachen University)

  • Alexander Mitsos

    (AVT Process Systems Engineering (SVT), RWTH Aachen University)

Abstract

A discretization-based algorithm for the global solution of semi-infinite programs (SIPs) is proposed, which is guaranteed to converge to a feasible, $$\varepsilon $$ ε -optimal solution finitely under mild assumptions. The algorithm is based on the hybridization of two existing algorithms. The first algorithm (Mitsos in Optimization 60(10–11):1291–1308, 2011) is based on a restriction of the right-hand side of the constraints of a discretized SIP. The second algorithm (Tsoukalas and Rustem in Optim Lett 5(4):705–716, 2011) employs a discretized oracle problem and a binary search in the objective space. Hybridization of the approaches yields an algorithm, which leverages the strong convergence guarantees and the relatively tight upper bounding problem of the first approach while employing an oracle problem adapted from the second approach to generate cheap lower bounds and adaptive updates to the restriction of the first approach. These adaptive updates help in avoiding a dense population of the discretization. The hybrid algorithm is shown to be superior to its predecessors both theoretically and computationally. A proof of finite convergence is provided under weaker assumptions than the assumptions in the references. Numerical results from established SIP test cases are presented.

Suggested Citation

  • Hatim Djelassi & Alexander Mitsos, 2017. "A hybrid discretization algorithm with guaranteed feasibility for the global solution of semi-infinite programs," Journal of Global Optimization, Springer, vol. 68(2), pages 227-253, June.
    • Handle: RePEc:spr:jglopt:v:68:y:2017:i:2:d:10.1007_s10898-016-0476-7
    DOI: 10.1007/s10898-016-0476-7
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    References listed on IDEAS

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    1. Stein, Oliver & Still, Georg, 2002. "On generalized semi-infinite optimization and bilevel optimization," European Journal of Operational Research, Elsevier, vol. 142(3), pages 444-462, November.
    2. Oliver Stein, 2006. "A semi-infinite approach to design centering," Springer Optimization and Its Applications, in: Stephan Dempe & Vyacheslav Kalashnikov (ed.), Optimization with Multivalued Mappings, pages 209-228, Springer.
    3. Lopez, Marco & Still, Georg, 2007. "Semi-infinite programming," European Journal of Operational Research, Elsevier, vol. 180(2), pages 491-518, July.
    4. O. Stein & A. Winterfeld, 2010. "Feasible Method for Generalized Semi-Infinite Programming," Journal of Optimization Theory and Applications, Springer, vol. 146(2), pages 419-443, August.
    5. Alexander Mitsos, 2010. "Global solution of nonlinear mixed-integer bilevel programs," Journal of Global Optimization, Springer, vol. 47(4), pages 557-582, August.
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    Cited by:

    1. Helene Krieg & Tobias Seidel & Jan Schwientek & Karl-Heinz Küfer, 2022. "Solving continuous set covering problems by means of semi-infinite optimization," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 96(1), pages 39-82, August.
    2. Hatim Djelassi & Moll Glass & Alexander Mitsos, 2019. "Discretization-based algorithms for generalized semi-infinite and bilevel programs with coupling equality constraints," Journal of Global Optimization, Springer, vol. 75(2), pages 341-392, October.
    3. Hatim Djelassi & Alexander Mitsos, 2021. "Global Solution of Semi-infinite Programs with Existence Constraints," Journal of Optimization Theory and Applications, Springer, vol. 188(3), pages 863-881, March.
    4. Daniel Jungen & Hatim Djelassi & Alexander Mitsos, 2022. "Adaptive discretization-based algorithms for semi-infinite programs with unbounded variables," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 96(1), pages 83-112, August.

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