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An interior-point method for semi-infinite programming problems

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Abstract

This work examines the generalization of a certain interior-point method, namely the method of analytic centers, to semi-infinite linear programming problems. We define an analytic center for these problems and an appropriate norm to examine Newton's method for computing this center. A simple algorithm of order zero is constructed and a convergence proof for that algorithm is given. Finally, we describe a more practical implementation of a predictor-corrector method and give some numerical results. In particular we concentrate on practical integration rules that take care of the specific structure of the integrals.

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  1. Research Department of the German Meteorological Service, Frankfurter Straße 135, D-63067, Offenbach, Germany

    Ulrich Schättler

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  1. Ulrich Schättler
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Schättler, U. An interior-point method for semi-infinite programming problems. Ann Oper Res 62, 277–301 (1996). https://doi.org/10.1007/BF02206820

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