A direct method of linearization for continuous minimax problems (Q1821697)

We consider the problem of minimizing a nondifferentiable function that is the pointwise maximum over a compact family of continuously differentiable functions. We suppose that a certain convex approximation to the objective function can be evaluated. An iterative method is given which uses as successive search directions approximate solutions of semi- infinite quadratic programming problems calculated via a new generalized proximity algorithm. Inexact line searches ensure global convergence of the method to stationary points.