A modified SQP algorithm for minimax problems

作者：Hu, Qing jie^*; Chen, Yu; Chen, Nei ping; Li, Xue quan

来源：Journal of Mathematical Analysis and Applications, 2009, 360(1): 211-222.

DOI：10.1016/j.jmaa.2009.06.009

• Minimax problems
• SQP algorithm
• Nonmonotone line search
• Global convergence
• Superlinear convergence

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.

• 出版日期2009-12-1
• 单位湖南商学院; 湖南第一师范学院