Year: 2018
Author: Bothina El-Sobky, Abdallah Abotahoun
Journal of Computational Mathematics, Vol. 36 (2018), Iss. 6 : pp. 776–791
Abstract
In this paper, we propose an algorithm for solving inequality constrained mini-max optimization problem. In this algorithm, an active set strategy is used together with multiplier method to convert the inequality constrained mini-max optimization problem into unconstrained optimization problem. A trust-region method is a well-accepted technique in constrained optimization to assure global convergence and is more robust when they deal with rounding errors. One of the advantages of trust-region method is that it does not require the objective function of the model to be convex.
A global convergence analysis for the proposed algorithm is presented under some conditions. To show the efficiency of the algorithm numerical results for a number of test problems are reported.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/jcm.1705-m2016-0735
Journal of Computational Mathematics, Vol. 36 (2018), Iss. 6 : pp. 776–791
Published online: 2018-01
AMS Subject Headings:
Copyright: COPYRIGHT: © Global Science Press
Pages: 16
Keywords: Mini-max problem active-set multiplier method trust-region global convergence.
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