Nonmonotone algorithm for minimax optimization problems |
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Authors: | Fusheng Wang Yanping Wang |
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Institution: | a Department of Mathematics, Taiyuan Normal University, Taiyuan 030012, PR China b Department of Economics, Taiyuan Normal University, Taiyuan 030012, PR China |
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Abstract: | Many real life problems can be stated as a minimax optimization problem, such as the problems in economics, finance, management, engineering and other fields. In this paper, we present an algorithm with nonmonotone strategy and second-order correction technique for minimax optimization problems. Using this scheme, the new algorithm can overcome the difficulties of the Maratos effect occurred in the nonsmooth optimization, and the global and superlinear convergence of the algorithm can be achieved accordingly. Numerical experiments indicate some advantages of this scheme. |
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Keywords: | Nonmonotone strategy Second order correction Hybrid technique Minimax problems |
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