求解具有非精确信息的非光滑凸半无限规划束方法

A bundle method for solving nonsmooth convex semi-infinite programming with inexact information

提出一种邻近束方法来求解带有非精确信息的非光滑凸半无限规划问题.基本思想是通过离散化方法对下水平问题进行近似,然后提出一种新的邻近束方法求解近似问题.收敛性分析中证明了方法的收敛性,并且表明,在适当条件下,迭代点的任何聚点对于原始问题都是可行的.数值实验说明了该方法的有效性.

A proximal bundle method is presented to solve nonsmooth convex semi-infinite programming with inexact information.The basic idea is to approximate the lower level problem by the discretization method and propose a new proximal bundle method to solve the approximate problems.In the convergence analysis,the convergence of the method is proved.And it is shown that any accumulation point of the iteration points is feasible for the original problem under some proper conditions.The numerical experiments illustrate the effectiveness of the proposed method.