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: | Wang Fusheng |
Keywords: | minimax problem, trust regions |
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.