OUTER APPROXIMATION TECHNIQUE AND INTERIOR POINT METHOD FOR CONVEX SETS

Abstract

Many real life problems involving management decision or policy making over limited available resources are usually formulated as optimization problems. This work focuses on two major techniques of obtaining solutions in global optimization: Outer Approximation Method (OAM) and Interior Point Method (IPM). Special consideration is made on constraint dropping strategy over a polyhedral set which is a technique of OAM and compares it with interior point method. Computational steps show
that IPM performs very well due to its gradient-based property but the same optimal solution. The OAM technique discussed allows nonlinear cuts and unbounded feasible sets