An algorithm for semi-infinite polynomial optimization

Abstract

We consider the semi-infinite optimization problem: $f^*:=\min_{x\in X}\:\{f(x): g(x,y)\,\leq \,0,\:\forally\in Y_x\}$, where $f,g$ are polynomials and $X\subset R^n$ as well as $Y_\x\subset R^p$, $x\in X$, are compact basic semi-algebraic sets. To approximate $f^*$ we proceed in two steps. First, we use the "joint+marginal" approach of the author to approximate from above the function $x\mapsto\Phi(x)=\sup \{g(x,y): y\in Y_x\}$ by a polynomial $\Phi_d\geq\Phi$, of degree at most $2d$, with the strong property that $\Phi_d$ converges to $\Phi$ for the $L_1$-norm, as $d\to\infty$ (and in particular, almost uniformly for some subsequence $(d_\ell)$, $\ell\in\N$). Then we solve the polynomial optimization problem $f^*_d=\min_{x\in X} \{f(x): \Phi_d(x)\leq0\}$ via a (by now standard) hierarchy of semidefinite relaxations. It turns out that the optimal value $f^*_d\geq f^*$ converges to $f^*$ as $d\to\infty$. In practice we let $d$ be fixed, small, and relax the constraint $\Phi_d\leq0$ to $\Phi_d(x)\leq\epsilon$ with $\epsilon>0$, allowing to change $\epsilon$ dynamically.