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Nonmonotone Line Search Algorithm for Constrained Minimax Problems
Authors:Yu  YH  Gao  L
Institution:(1) School of Mathematical Sciences, Peking University, Beijing, PRC;(2) School of Mathematical Sciences, Peking University, Beijing, PRC
Abstract:In this paper, an algorithm for constrained minimax problems is presented which is globally convergent and whose rate of convergence is two-step superlinear. The algorithm applies SQP to the constrained minimax problems by combining a nonmonotone line search and a second-order correction technique, which guarantees a full steplength while close to a solution, such that the Maratos effect is avoided and two-step superlinear convergence is achieved.
Keywords:Constrained minimax problems  sequential quadratic programming  Maratos effect  nonmonotone line search  superlinear convergence
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