Nonmonotone Line Search Algorithm for Constrained Minimax Problems |
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Authors: | Yu YH Gao L |
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Institution: | (1) School of Mathematical Sciences, Peking University, Beijing, PRC;(2) School of Mathematical Sciences, Peking University, Beijing, PRC |
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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. |
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Keywords: | Constrained minimax problems sequential quadratic programming Maratos effect nonmonotone line search superlinear convergence |
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