An Interior-Point Algorithm for Nonlinear Minimax Problems

E. Obasanjo (), G. Tzallas-Regas () and B. Rustem ()
Additional contact information
E. Obasanjo: Barclays Capital
G. Tzallas-Regas: Imperial College London
B. Rustem: Imperial College London

Journal of Optimization Theory and Applications, 2010, vol. 144, issue 2, No 6, 318 pages

Abstract: Abstract 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.

Keywords: Discrete min-max; Constrained nonlinear programming; Primal-dual interior-point methods; Stepsize strategies (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (4)

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DOI: 10.1007/s10957-009-9599-z

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