Nonmonotone algorithm for minimax optimization problems

Nonmonotone algorithm for minimax optimization problems

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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: ,
Keywords: minimax problem
Abstract:

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.

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