Convex semi-infinite programming algorithms with inexact separation oracles

Abstract Solving convex semi-infinite programming (SIP) problems is challenging when the separation problem, namely, the problem of finding the most violated constraint, is computationally hard. We propose to tackle this difficulty by solving the separation problem approximately, i.e., by using an inexact oracle. Our focus lies in two algorithms for SIP, namely the cutting-planes (CP) and the inner-outer approximation (IOA) algorithms. We prove the CP convergence rate to be in O (1/ k ), where k is the number of calls to the limited-accuracy oracle, if the objective function is strongly convex. Compared to the CP algorithm, the advantage of the IOA algorithm is the feasibility of its iterates. In the case of a semi-infinite program with a Quadratically Constrained Quadratic Programming separation problem, we prove the convergence of the IOA algorithm toward an optimal solution of the SIP problem despite the oracle’s inexactness.