On the Off-Label Use of Outer Approximations: An External Active Set Strategy
Hoam Chung, Elijah Polak and S. Shankar Sastry
EECS Department
University of California, Berkeley
Technical Report No. UCB/EECS-2007-127
October 26, 2007
http://www.eecs.berkeley.edu/Pubs/TechRpts/2007/EECS-2007-127.pdf
Outer approximations are a well known technique for solving semi-infinite 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. As our numerical results show, the effect of this external active-set strategy can be spectacular, with reductions in computing time by a factor that can exceed 500.
BibTeX citation:
@techreport{Chung:EECS-2007-127,
Author = {Chung, Hoam and Polak, Elijah and Sastry, S. Shankar},
Title = {On the Off-Label Use of Outer Approximations: An External Active Set Strategy},
Institution = {EECS Department, University of California, Berkeley},
Year = {2007},
Month = {Oct},
URL = {http://www.eecs.berkeley.edu/Pubs/TechRpts/2007/EECS-2007-127.html},
Number = {UCB/EECS-2007-127},
Abstract = {Outer approximations are a well known technique for solving
semi-infinite 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. As our numerical results show, the effect of this external active-set strategy can be spectacular, with
reductions in computing time by a factor that can exceed 500.}
}
EndNote citation:
%0 Report %A Chung, Hoam %A Polak, Elijah %A Sastry, S. Shankar %T On the Off-Label Use of Outer Approximations: An External Active Set Strategy %I EECS Department, University of California, Berkeley %D 2007 %8 October 26 %@ UCB/EECS-2007-127 %U http://www.eecs.berkeley.edu/Pubs/TechRpts/2007/EECS-2007-127.html %F Chung:EECS-2007-127