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Global Optimization of Generalized Semi-Infinite Programs via Restriction of the Right Hand Side

Alexander Mitsos (amitsos***at***alum.mit.edu)
Angelos Tsoukalas (tsouk***at***MIT.EDU)

Abstract: The algorithm proposed in [Mitsos Optimization 2011] for the global optimization of semi-infinite programs is extended to the global optimization of generalized semi-infinite programs (GSIP). No convexity or concavity assumptions are made. The algorithm employs convergent lower and upper bounds which are based on regular (in general nonconvex) nonlinear programs (NLP) solved by a (black-box) deterministic global NLP solver. The lower bounding procedure is based on a discretization of the lower-level host set; the set is populated with Slater points of the lower-level program that result in constraint violation of prior upper-level points visited by the lower bounding procedure. The purpose of the lower bounding procedure is only to generate a certificate of optimality; in trivial cases it can also generate a global solution point. The upper bounding procedure generates candidate optimal points; it is based on an approximation of the feasible set using a discrete restriction of the lower-level feasible set and a restriction of the right-hand side constraints (both lower and upper level). Under relatively mild assumptions, the algorithm is shown to converge finitely to a truly feasible point which is approximately optimal as established from the lower bound. Test cases from the literature are solved and the algorithm is shown to be computationally efficient.

Keywords: SIP ; NLP ; Slater point ; nonconvex ; global optimization

Category 1: Infinite Dimensional Optimization (Semi-infinite Programming )

Category 2: Global Optimization (Other )

Citation: A. Mitsos and A. Tsoukalas. Journal of Global Optimization, In press January 2014 http://dx.doi.org/10.1007/s10898-014-0146-6

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Entry Submitted: 08/12/2013
Entry Accepted: 08/12/2013
Entry Last Modified: 01/28/2014

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