An interior-point algorithm for nonlinear minimax problems (Q963659): Difference between revisions

The algorithm is based on the primal-dual interior-point method described in the paper of \textit{I. Akrotirianakis} and \textit{B. Rustem} [J. Optimization Theory Appl. 125, No. 3, 497--521 (2005; Zbl 1079.90154)] and based on the minimax approach of \textit{B. Rustem} [Math. Program., Ser. A 53, No. 3, 279--295 (1992; Zbl 0751.90057)] with the different choice of the merit function, stepsize rule and computation of search direction. For a constrained nonlinear, discrete minimax problem where the objective functions and constraints are not necessarily convex, the algorithm uses two merit functions to ensure progress toward the points satisfying the first-order optimality conditions of the original problem. Convergence properties are described and numerical results provided.