semi
Global convergence of a semi-infinite optimization method
Abstract
A new algorithm for minimizing locally Lipschitz functions using approximate function values is presented. It yields a method for minimizing semi-infinite exact penalty functions that parallels the trust region methods used in composite nondifferentiable optimization. A finite method for approximating a semi-infinite exact penalty function is developed. A uniform implicit function theorem is established during this development. An implementation and test results for the approximate penalty function are included.