GLOBAL CONVERGENCE OF A SEMI-INFINITE OPTIMIZATION METHOD

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. © 1990 Springer-Verlag New York Inc.