An Interior-Point Algorithm for Nonlinear Minimax Problems

被引：28

作者：

Obasanjo, E. ^{[2
]}

Tzallas-Regas, G. ^{[1
]}

Rustem, B. ^{[1
]}

机构：

[1] Univ London Imperial Coll Sci Technol & Med, Dept Comp, London SW7 2AZ, England

[2] Barclays Capital, Equ Derivat Grp Systemat Trading, London, England

来源：

JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS | 2010年 / 144卷 / 02期

关键词：

Discrete min-max; Constrained nonlinear programming; Primal-dual interior-point methods; Stepsize strategies; CONVERGENCE;

D O I：

10.1007/s10957-009-9599-z

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

We present a primal-dual interior-point method for constrained nonlinear, discrete minimax problems where the objective functions and constraints are not necessarily convex. The algorithm uses two merit functions to ensure progress toward the points satisfying the first-order optimality conditions of the original problem. Convergence properties are described and numerical results provided.

引用

页码：291 / 318

页数：28

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