An active-set algorithm and a trust-region approach in constrained minimax problem (Q1993563)
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English | An active-set algorithm and a trust-region approach in constrained minimax problem |
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An active-set algorithm and a trust-region approach in constrained minimax problem (English)
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5 November 2018
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In this paper, a new algorithm to solve a finite minimax problem with side constraints is proposed. An active-set strategy is used in the algorithm to transform inequality constraints to equality constraints. This allows the use of the well-developed techniques for solving the equality constrained optimization problems. A trust-region globalization strategy is added to the proposed algorithm to ensure global convergence. A projected Hessian technique is used in the algorithm to overcome the difficulty of having an infeasible trust-region subproblem. A global convergence theory for the proposed algorithm is presented under standard assumptions. Finally, numerical experiments are reported to indicate that the new algorithm performs efficiently in practice.
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minimax problem
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active-set
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trust region
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projected Hessian technique
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convergence theory
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