Article ID: | iaor20112879 |
Volume: | 217 |
Issue: | 13 |
Start Page Number: | 6296 |
End Page Number: | 6308 |
Publication Date: | Mar 2011 |
Journal: | Applied Mathematics and Computation |
Authors: | Wang Fusheng, Wang Yanping |
Keywords: | minimax problem |
Many real life problems can be stated as a minimax optimization problem, such as the problems in economics, finance, management, engineering and other fields. In this paper, we present an algorithm with nonmonotone strategy and second‐order correction technique for minimax optimization problems. Using this scheme, the new algorithm can overcome the difficulties of the Maratos effect occurred in the nonsmooth optimization, and the global and superlinear convergence of the algorithm can be achieved accordingly. Numerical experiments indicate some advantages of this scheme.