On the Use of Outer Approximations as an External Active Set Strategy

H. Chung (), E. Polak () and S. Sastry ()
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H. Chung: University of California
E. Polak: University of California
S. Sastry: University of California

Journal of Optimization Theory and Applications, 2010, vol. 146, issue 1, No 4, 75 pages

Abstract: Abstract Outer approximations are a well known technique for solving semiinfinite optimization problems. We show that a straightforward adaptation of this technique results in a new, external, active-set strategy that can easily be added to existing software packages for solving nonlinear programming problems with a large number of inequality constraints. Our external active-set strategy is very easy to implement, and, as our numerical results show, it is particularly effective when applied to discretized semiinfinite optimization or state-constrained optimal control problems. Its effects can be spectacular, with reductions in computing time that become progressively more pronounced as the number of inequalities is increased.

Keywords: Outer approximations; Inequality constrained optimization; Active set strategies (search for similar items in EconPapers)
Date: 2010
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DOI: 10.1007/s10957-010-9655-8

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