A hybrid algorithm for linearly constrained minimax problems

A hybrid algorithm for linearly constrained minimax problems

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Article ID: iaor20133928
Volume: 206
Issue: 1
Start Page Number: 501
End Page Number: 525
Publication Date: Jul 2013
Journal: Annals of Operations Research
Authors:
Keywords: minimax problem, trust regions
Abstract:

Many real life problems can be stated as a minimax problem, such as economics, finance, management, engineering and other fields, which demonstrate the importance of having reliable methods to tackle minimax problems. In this paper, an algorithm for linearly constrained minimax problems is presented in which we combine the trust‐region methods with the line‐search methods and curve‐search methods. By means of this hybrid technique, it avoids possibly solving the trust‐region subproblems many times, and make better use of the advantages of different methods. Under weaker conditions, the global and superlinear convergence are achieved. Numerical experiments show that the new algorithm is robust and efficient.

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