Affiliation:
1. Sun Yat-sen University
Abstract
In this paper, we study the algorithm for solving a kind of new problem called generalized separated continuous conic programming (GSCCP), which has great modeling power. Based on the relationships between GSCCP and its discretization, GSCCP and its dual, we proposed an approximation algorithm which can produce a feasible solution for GSCCP with prescribed precision. We also present a numerical example to illustrate the efficiency of this algorithm. To our knowledge, this is the first algorithm for solving GSCCP so far.
Publisher
Trans Tech Publications, Ltd.
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