A TRUST-REGION ALGORITHM FOR SOLVING MINI-MAX PROBLEM  

作　　者：Bothina E1-Sobky Abdallah Abotahoun 

机构地区：[1]Department of Mathematics, Alexandria University, Alexandria, Egypt

出　　处：《Journal of Computational Mathematics》2018年第6期776-791,共16页计算数学（英文）

摘　　要：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 mul- tiplier 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.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 mul- tiplier 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.

关 键 词：Mini-max problem Active-set Multiplier method TRUST-REGION Global con-vergence 

分 类 号：TP301.6[自动化与计算机技术—计算机系统结构] TP393[自动化与计算机技术—计算机科学与技术]