Article ID: | iaor2009683 |
Country: | Netherlands |
Volume: | 136 |
Issue: | 1 |
Start Page Number: | 87 |
End Page Number: | 103 |
Publication Date: | Jan 2008 |
Journal: | Journal of Optimization Theory and Applications |
Authors: | Rustem Ber, Parpas P., akovi S. |
Keywords: | interior point methods, minimax problem |
We propose an algorithm for the constrained continuous minimax problem. The algorithm uses a quasi-Newton search direction, based on subgradient information, conditional on maximizers. The initial problem is transformed to an equivalent equality constrained problem, where the logarithmic barrier function is used to ensure feasibility. In the case of multiple maximizers, the algorithm adopts semi-infinite programming iterations toward epiconvergence.