On the Off-Label Use of Outer Approximations: An External Active Set Strategy

Hoam Chung and Elijah Polak and S. Shankar Sastry

EECS Department, University of California, Berkeley

Technical Report No. UCB/EECS-2007-127

October 26, 2007

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http://www2.eecs.berkeley.edu/Pubs/TechRpts/2007/Archive/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},
    Year= {2007},
    Month= {Oct},
    Url= {http://www2.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://www2.eecs.berkeley.edu/Pubs/TechRpts/2007/EECS-2007-127.html
%F Chung:EECS-2007-127