A new superlinearly convergent SQP algorithm for nonlinear minimax problems

作者：Jian, Jin bao^*; Quan, Ran; Hu, Qing jie

来源：Acta Mathematicae Applicatae Sinica-English Series, 2007, 23(3): 395-410.

DOI：10.1007/s10255-007-0380-5

• minimax problems
• SQP algorithm
• global convergence
• superlinear convergence

In this paper, the nonlinear minimax problems are discussed. By means of the Sequential Quadratic Programming (SQP), a new descent algorithm for solving the problems is presented. At each iteration of the proposed algorithm, a main search direction is obtained by solving a Quadratic Programming (QP) which always has a solution. In order to avoid the Maratos effect, a correction direction is obtained by updating the main direction with a simple explicit formula. Under mild conditions without the strict complementarity, the global and superlinear convergence of the algorithm can be obtained. Finally, some numerical experiments are reported.

• 出版日期2007
• 单位广西大学; 湖南商学院