Simple Sequential Quadratically Constrained Quadratic Programming Feasible Algorithm with Active Identification Sets for Constrained Minimax Problems

Simple Sequential Quadratically Constrained Quadratic Programming Feasible Algorithm with Active Identification Sets for Constrained Minimax Problems

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Article ID: iaor2014195
Volume: 160
Issue: 1
Start Page Number: 158
End Page Number: 188
Publication Date: Jan 2014
Journal: Journal of Optimization Theory and Applications
Authors: , , , ,
Keywords: minimax problem
Abstract:

In this paper, the nonlinear minimax problems with inequality constraints are discussed. Based on the idea of simple sequential quadratically constrained quadratic programming algorithm for smooth constrained optimization, an alternative algorithm for solving the discussed problems is proposed. Unlike the previous work, at each iteration, a feasible direction of descent called main search direction is obtained by solving only one subprogram which is composed of a convex quadratic objective function and simple quadratic inequality constraints without the second derivatives of the constrained functions. Then a high‐order correction direction used to avoid the Maratos effect is computed by updating the main search direction with a system of linear equations. The proposed algorithm possesses global convergence under weak Mangasarian–Fromovitz constraint qualification and superlinear convergence under suitable conditions with the upper‐level strict complementarity. At last, some preliminary numerical results are reported.

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