A note on semi-infinite program bounding methods

Abstract

Semi-infinite programs are a class of mathematical optimization problems with a finite number of decision variables and infinite constraints. As shown by Blankenship and Falk (Blankenship and Falk. "Infinitely constrained optimization problems." Journal of Optimization Theory and Applications 19.2 (1976): 261-281.), a sequence of lower bounds which converges to the optimal objective value may be obtained with specially constructed finite approximations of the constraint set. In (Mitsos. "Global optimization of semi-infinite programs via restriction of the right-hand side." Optimization 60.10-11 (2011): 1291-1308.), it is claimed that a modification of this lower bounding method involving approximate solution of the lower-level program yields convergent lower bounds. We show with a counterexample that this claim is false, and discuss what kind of approximate solution of the lower-level program is sufficient for correct behavior.