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

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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