Simplex-Like Trajectories on Quasi-Polyhedral Sets

This paper presents a unified treatment of two new simplex-like methods for linear semi-infinite programming problems with quasi-polyhedral feasible sets. The simplex method combines a purification phase I which provides an extreme point from a given feasible solution with the iterative application of a pivot operation, yielding a trajectory which consists of a possibly infinite sequence of linked edges phase II. The reduced gradient method also consists of two phases and it can be applied even when the feasible set has no extreme point.

[1]  S. Ito,et al.  Inexact primal-dual interior point iteration for linear programs in function spaces , 1995, Comput. Optim. Appl..

[2]  Michael J. Todd,et al.  Asymptotic Behavior of Interior-Point Methods: A View From Semi-Infinite Programming , 1996, Math. Oper. Res..

[3]  Klaus Glashoff,et al.  Linear Optimization and Approximation , 1983 .

[4]  M. R. Osborne Finite Algorithms in Optimization and Data Analysis , 1985 .

[5]  Adrian S. Lewis,et al.  An extension of the simplex algorithm for semi-infinite linear programming , 1989, Math. Program..

[6]  E. Anderson Linear Programming In Infinite Dimensional Spaces , 1970 .

[7]  P. Gill,et al.  A numerically stable form of the simplex algorithm , 1973 .

[8]  Ulrich Schättler,et al.  An interior-point method for semi-infinite programming problems , 1996, Ann. Oper. Res..

[9]  R. Wets,et al.  A Lipschitzian characterization of convex polyhedra , 1969 .

[10]  Marco A. López,et al.  Optimality theory for semi-infinite linear programming ∗ , 1995 .

[11]  Marco A. López,et al.  Locally polyhedral linear inequality systems , 1998 .

[12]  M. Powell Karmarkar's algorithm : a view from nonlinear programming , 1989 .

[13]  M. A. López-Cerdá,et al.  Linear Semi-Infinite Optimization , 1998 .

[14]  V. Klee Some characterizations of convex polyhedra , 1959 .

[15]  Robert J. Vanderbei,et al.  Affine-Scaling Trajectories Associated with a Semi-Infinite Linear Program , 1995, Math. Oper. Res..

[16]  Michael J. Todd,et al.  Interior-point algorithms for semi-infinite programming , 1994, Math. Program..