Convergence of an interior point algorithm for continuous minimax

Convergence of an interior point algorithm for continuous minimax

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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: , ,
Keywords: interior point methods, minimax problem
Abstract:

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.

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