Abstract
First order necessary conditions and duality results for general inexact nonlinear programming problems formulated in nonreflexive spaces are obtained. The Dubovitskii–Milyutin approach is the main tool used. Particular cases of linear and convex programs are also analyzed and some comments about a comparison of the obtained results with those existing in the literature are given.
Similar content being viewed by others
References
Alizadeh F, Goldfarb D (2002) Second-order cone programming. Math Prog Ser B 92
Amaya J, de Ghellinck G (1997) Duality for inexact linear programming problems. Optimization 39:137–150
Amaya J, Gómez JA (2001) Strong duality for inexact linear programming problems. Optimization 49(3–4):243–269
Ben Tal A, Nemirovski A (1998) Robust convex optimization. Math Oper Res 23(4):769–805
Ben Tal A, Nemirovski A (2001) Lectures on modern convex optimization: analysis, algorithms, engineering applications – MPS-SIAM series on optimization. SIAM, Philadelphia
Bonnans JF, Shapiro A (2000) Perturbation analysis of optimization problems. Springer, Berlin Heidelberg New York
Borwein JM (1981) Direct theorems in semi-infinite convex programming. Math Program 21(1):301–318
Borwein JM, Lewis AS (2000) Convex analysis and nonlinear optimization. Canadian Mathematicl Society Books in Mathematics. Springer, Berlin Heidelberg New York
Bosch P, Gómez JA (1997) Karush–Kuhn–Tucker theorem for operator constaints and the local Pontryagin’s maximum principle. Revista de Matemáticas Aplicadas, Universidad de Chile 18:79–106
Bosch P, Gómez JA (2000) A proof of a local maximum principle for optimal control problems with mixed state constraints. Rev Invest Oper Braz 9(3):239–262
Dubovitskii AY, Milyutin AA (1965) Extremum problems in the presence of restrictions. USSR. Comput Math Math Phys 5(3):1–80
Girsanov V (1972) Lectures on mathematical theory of extremum problems. Springer, Berlin Heidelberg New York
Goberna MA, López MA (1998) Linear semi-infinite optimization. Wiley, New York
Goldfarb D (2002) The Simplex Method for conic programming, Technical Report, CORC Report 2002–05, Columbia University
Gómez W, Gómez JA (2006) Cutting plane algorithms for robust conic convex optimization problems. Optim Methods Softw 21(5):779–803
Gómez JA, Gómez W, Amaya J. (2002) Solving inexact linear programming problems: a first approach. Technical Report No. CMM-B-02/03-64 Centro de Modelamiento Matemático, Universidad de Chile
Gómez JA, Bosch P, Amaya J (2005) Duality for inexact semi-infinite linear programming. Optimization 54(1):1–25
Hettich R (1986) An implementation of a discretization method for semi-infinite programming. Math Progra 34:354–361
Hettich R, Kortanek KO (1993) Semi-infinite programming theory. Methods and applications. SIAM Rev 35:380–429
Kantorovich LV, Akilov GP (1977) Funktsionalnii analys., Nauka, Moscú (in russian)
Krishnan K, Mitchell JE (2002) A linear programming approach to semidefinite programming problems, Technical Report, Dept. of Mathematical Sciences, Rensselear Polytechnic Institute
Krishnan K, Mitchell JE (2003a) Properties of a cutting plane algorithm for semidefinite programming, Technical Report, Dept. of Computational and Applied Mathematics, Rice University.
Krishnan K, Mitchell JE (2003b) An unifying framework for several cutting plane methods for semidefinite programming, Technical Report, Dept. of Computational and Applied Mathematics, Rice University
Leibfritz L, Maruhn JH (2005) A succesive SDP-NSDP approach to a robust optimization problem in finance. RICAM Report, in University of Trier. http:www.mathematik.uni-trier.de:8080/~leibfritz/publications.htm.
Lobo MS, Vandenberghe L, Boyd S, Lebret H (1987) Applications of second-order cone programming. Linear Algebra Appl 284(1–3):193–228
Luenberger D (1992) Optimization by vector space methods. Wiley, New York, 1969
Matloka M (1992) Some generalization of inexact linear programming. Optimization 23:1–6
Michael E (1956-1957) Continuos selection I,II,III. Ann Math Ser. 63–65. 63:362–382
Michael E (1970) A survey of continuos selections, Set-valued mappings, Selections Topol. Properties of 2x, Lect Notes Math 171:54–58 Springer Verlag, Berlin Heidelberg New York
Nesterov Y, Nemirovskii A (1993) Interior-point polynomial algorithms in convex programming. SIAM Stud Appl Math 13
Ramana MV, Tuncel L, Wolkowicz H (1997) Strong duality for semi-definite programming. SIAM J Optim 7(3):641–662
Reemtsen R (1991) Discretization methods for the solution of semi-infinite programming problems. J Optim Theory Appl 71(1):85–103
Reemtsen R, Görner S (1998) Numerical methods for semi-infinite programming: a survey. In: Reemtsen, R. et al. (ed) Semi-infinite programming. Workshop, Cottbus, Germany, September 1996. Nonconvex Optim. Appl. 25:195–275. Kluwer, Boston
Rockafellar RT (1971) Integrals which are convex functionals II. Pac J Math 39(2)
Rockafellar RT (1974) Conjugate duality and optimization. CBMS-NSF Regional conference series in applied mathematics, SIAM
Shapiro A (1998) First and second order optimality conditions and perturbation analysis of semi-infinite programming problems. In: Reemtsen R et al. (ed) Semi-infinite programming. Workshop, Cottbus, Germany, September 1996. Kluwer, Boston, pp 103–133
Shapiro A (2001) On duality theory of conic linear problems, in Goberna, MA, López, MA. (eds) Semi-infinite programming: recent advances. Kluwer, Boston
Soyster AL (1973) Convex programming with set-inclusive constraints and applications to inexact linear programming. Oper Res 21:1154–1157
Soyster AL (1974) A duality theory for convex programming with set-inclusive constraints. Oper Res 22:892–898
Tichatschke R, Hettich R, Still G (1989) Connections between generalized, inexact and semi-infinite linear programming. Math Method Oper Res (ZOR) 33(6):367–382
Vandenberghe L, Boyd S (1998) Connections between semi-infinite and semidefinite programming. In: Reemtsen R et al. (ed) Semi-infinite programming. Workshop, Cottbus, Germany, September 1996. Nonconvex Optim. Appl. 25:277–294. Kluwer, Boston
Vandenberghe L, Boyd S (1996) Semi-definite programming. SIAM Rev 38(1):49–95
Author information
Authors and Affiliations
Corresponding author
Rights and permissions
About this article
Cite this article
Gómez, J.A., Bosch, P. Necessary conditions and duality for inexact nonlinear semi-infinite programming problems. Math Meth Oper Res 65, 45–73 (2007). https://doi.org/10.1007/s00186-006-0099-8
Received:
Accepted:
Published:
Issue Date:
DOI: https://doi.org/10.1007/s00186-006-0099-8