Nonmonotone line search algorithm for constrained minimax problems

被引：40

作者：

Yu, YH ^{[1
]}

Gao, L ^{[1
]}

机构：

[1] Peking Univ, Sch Math Sci, Beijing 100871, Peoples R China

来源：

JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS | 2002年 / 115卷 / 02期

基金：

中国国家自然科学基金;

关键词：

constrained minimax problems; sequential quadratic programming; Maratos effect; nonmonotone line search; superlinear convergence;

D O I：

10.1023/A:1020896407415

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：

In this paper, an algorithm for constrained minimax problems is presented which is globally convergent and whose rate of convergence is two-step superlinear. The algorithm applies SQP to the constrained minimax problems by combining a nonmonotone line search and a second-order correction technique, which guarantees a full steplength while close to a solution, such that the Maratos effect is avoided and two-step superlinear convergence is achieved.

引用

页码：419 / 446

页数：28

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