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arXiv · 1803.10898

An Inexact Primal-Dual Algorithm for Semi-Infinite Programming

Bo Wei·William B. Haskell·Sixiang Zhao
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Abstract

This paper considers an inexact primal-dual algorithm for semi-infinite programming (SIP) for which it provides general error bounds. To implement the dual variable update, we create a new prox function for nonnegative measures which turns out to be a generalization of the Kullback-Leibler divergence for probability distributions. We show that under suitable conditions on the error, this algorithm achieves an $\mathcal{O}(1/\sqrt{K})$ rate of convergence in terms of the optimality gap and constraint violation. We then use our general error bounds to analyze the convergence and sample complexity of a specific primal-dual SIP algorithm based on Monte Carlo integration. Finally, we provide numerical experiments to demonstrate the performance of our algorithm.

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Bo Wei, William B. Haskell, Sixiang Zhao. 2019-01-15. An Inexact Primal-Dual Algorithm for Semi-Infinite Programming. https://arxiv.org/abs/1803.10898

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