Nonmonotone Line Search Algorithm for Constrained Minimax Problems

Y.H. Yu and L. Gao
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Y.H. Yu: Peking University
L. Gao: Peking University

Journal of Optimization Theory and Applications, 2002, vol. 115, issue 2, No 9, 419-446

Abstract: Abstract 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.

Keywords: Constrained minimax problems; sequential quadratic programming; Maratos effect; nonmonotone line search; superlinear convergence (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (3)

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DOI: 10.1023/A:1020896407415

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