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A sequential piecewise linear programming method is presented where boundeddomains of non-convex functions are successively contracted about the solutionof a piecewise linear program at each iteration of the algorithm. Althoughfeasibility and optimality are not guaranteed, we show that the method iscapable of obtaining convergent and optimal solutions on a number of NonlinearProgramming (NLP) and Mixed Integer Nonlinear Programming (MINLP) problemsusing only a small number of breakpoints and integer variables.

Sequential Piecewise Linear Programming for Convergent Optimization of Non-Convex Problems