Approximations of unbounded convex projections and unbounded convex sets

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Abstract We consider the problem of projecting a convex set onto a subspace or, equivalently formulated, the problem of computing a set obtained by applying a linear mapping to a convex feasible set. This includes the problem of approximating convex sets by polyhedrons. The existing literature on convex projections provides methods for bounded convex sets only, in this paper we propose a method that can handle both bounded and unbounded problems. The algorithms we propose build on the ideas of inner and outer approximation. In particular, we adapt the recently proposed methods for solving unbounded convex vector optimization problems to handle also the class of projection problems.