A New Exchange Method for Convex Semi-Infinite Programming

@article{Zhang2010ANE,
  title={A New Exchange Method for Convex Semi-Infinite Programming},
  author={Liping Zhang and Soon-Yi Wu and Mario A. Lopez},
  journal={SIAM Journal on Optimization},
  year={2010},
  volume={20},
  pages={2959-2977}
}
In this paper we propose a new exchange method for solving convex semi-infinite programming (CSIP) problems. We introduce a new dropping-rule in the proposed exchange algorithm, which only keeps those active constraints with positive Lagrange multipliers. Moreover, we exploit the idea of looking for η-infeasible indices of the lower level problem as the adding-rule in our algorithm. Hence the algorithm does not require to solve a maximization problem over the index set at each iteration; it… CONTINUE READING

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