An Interior Point Algorithm for Computing Saddle Points of Constrained Continuous Minimax

Stanislav Žaković (), Costas Pantelides and Berc Rustem ()

Annals of Operations Research, 2000, vol. 99, issue 1, 59-77

Abstract: The aim of this paper is to present an algorithm for finding a saddle point to the constrained minimax problem. The initial problem is transformed into an equivalent equality constrained problem, and then the interior point approach is used. To satisfy the original inequality constraints a logarithmic barrier function is used and special care is given to step size parameter to keep the variables within permitted boundaries. Numerical results illustrating the method are given. Copyright Kluwer Academic Publishers 2000

Keywords: saddle points; interior point methods; constrained optimization (search for similar items in EconPapers)
Date: 2000
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DOI: 10.1023/A:1019284715657

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