A modified SQP algorithm for minimax problems

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

卷:360

Article

Hu, Qing-jie¹  Chen, Yu¹  Chen, Nei-ping¹  Li, Xue-quan² 

[1] Hunan Business Coll, Dept Informat, Changsha 410205, Hunan, Peoples R China

[2] Hunan First Normal Coll, Dept Math, Changsha 410205, Hunan, Peoples R China

关键词: Minimax problems;    SQP algorithm;    Nonmonotone line search;    Global convergence;    Superlinear convergence;   

DOI  :  10.1016/j.jmaa.2009.06.009

来源: Elsevier

【 摘 要 】

In this paper, a modified nonmonotone line search SQP algorithm for nonlinear minimax problems is presented. During each iteration of the proposed algorithm, a main search direction is obtained by solving a reduced quadratic program (QP). In order to avoid the Maratos effect, a correction direction is generated by solving the reduced system of linear equations. Under mild conditions, the global and superlinear convergence can be achieved. Finally, some preliminary numerical results are reported. (C) 2009 Elsevier Inc. All rights reserved.

【 授权许可】

Free