A global regularization method for solving the finite min–max problem

A global regularization method for solving the finite min–max problem

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Article ID: iaor20003060
Country: Netherlands
Volume: 11
Issue: 3
Start Page Number: 277
End Page Number: 296
Publication Date: Dec 1998
Journal: Computational Optimization and Applications
Authors:
Keywords: optimization, computational analysis
Abstract:

A method is presented for solving the finite nonlinear min–max problem. Quasi-Newton methods are used to approximately solve a sequence of differentiable subproblems where, for each subproblem, the cost function to minimize is a global regularization underestimating the finite maximum function. Every cluster point of the sequence generated is shown to be a stationary point of the min–max problem and therefore, in the convex case, to be a solution of the problem. Moreover, numerical results are given for a large set of test problems which show that the method is efficient in practice.

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