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On minimax optimization problems
Authors:Zvi Drezner
Affiliation:(1) School of Management, The University of Michigan-Dearborn, Dearborn, MI, USA
Abstract:
We give a short proof that in a convex minimax optimization problem ink dimensions there exist a subset ofk + 1 functions such that a solution to the minimax problem with thosek + 1 functions is a solution to the minimax problem with all functions. We show that convexity is necessary, and prove a similar theorem for stationary points when the functions are not necessarily convex but the gradient exists for each function.
Keywords:Minimax  Nonconvex Optimization  Stationary Points
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