An algorithm for convex constrained minimax optimization based on duality

DOI10.1007/BF01442126MaRDI QIDQ1160889zbMATH OpenFDO

Authors Guy Cohen

Publication date 1981

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

zbMATH Keywords

minimax problemdual algorithmconvex constrained minimax optimizationsearch for the dual variable

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Convex programming (90C25) Methods of successive quadratic programming type (90C55) Optimality conditions for minimax problems (49K35) Numerical methods involving duality (49M29) Existence of solutions for minimax problems (49J35)

Cites work

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• A differential game with two pursuers and one evader
• An Efficient Method to Solve the Minimax Problem Directly
• Approximation procedures based on the method of multipliers
• Auxiliary problem principle and decomposition of optimization problems
• Linearly constrained minimax optimization
• Minimax solution of the multiple-target problem
• New algorithms for constrained minimax optimization
• Optimization by Least Squares
• Optimization by decomposition and coordination: A unified approach

Cited in

(6)

• Robust min-max portfolio strategies for rival forecast and risk scenarios
• A superlinearly convergent constrained min-max algorithm for rival models of the same system
• Minimization of convex functionals involving nested maxima: Nonconcave duality and algorithms
• Point-to-point trajectory planning of wheeled mobile manipulators with stability constraint. Extension of the random-profile approach
• Nonconvex min-max fractional quadratic problems under quadratic constraints: copositive relaxations
• A constrained min-max algorithm for rival models of the same economic system

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