A constrained min-max algorithm for rival models of the same economic system

DOI10.1007/BF01585707zbMath0751.90057OpenAlexW1985610252MaRDI QIDQ1184350

Berc Rustem

Publication date: 28 June 1992

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01585707

zbMATH Keywords

sequential quadratic programmingglobal and local convergencepenalty functionsuccessive quadratic programming\(Q\)-superlinear convergencestepsize strategyconstrained min-max problemlarge systems of discrete-time nonlinear dynamic equationsprojected Hessian approximations

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Quadratic programming (90C20) Macroeconomic theory (monetary models, models of taxation) (91B64) Existence of solutions for minimax problems (49J35) Computational methods for problems pertaining to operations research and mathematical programming (90-08)

Related Items (13)

Feasible generalized monotone line search SQP algorithm for nonlinear minimax problems with inequality constraints ⋮ Quadratically constraint quadratical algorithm model for nonlinear minimax problems ⋮ A classification system for economic stochastic control models ⋮ Understanding the difference between robust control and optimal control in a linear discrete-time system with time-varying parameters ⋮ A hybrid algorithm for linearly constrained minimax problems ⋮ A robust hedging algorithm ⋮ A superlinearly convergent norm-relaxed method of quasi-strongly sub-feasible direction for inequality constrained minimax problems ⋮ Stochastic control for economic models: past, present and the paths ahead ⋮ An interior-point algorithm for nonlinear minimax problems ⋮ Nonmonotone line search algorithm for constrained minimax problems ⋮ Multi-period minimax hedging strategies ⋮ A sequential quadratically constrained quadratic programming method for unconstrained minimax problems ⋮ Robust min-max portfolio strategies for rival forecast and risk scenarios

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