A Nonlinear Lagrange Algorithm for Minimax Problems with General Constraints |
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Authors: | Suxiang He Xiangfeng Liu Chuanmei Wang |
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Institution: | 1. School of Science, Wuhan University of Technology, Wuhan, P. R. Chinahesux@whut.edu.cn;3. School of Science, Wuhan University of Technology, Wuhan, P. R. China |
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Abstract: | This article presents a novel nonlinear Lagrange algorithm for solving minimax optimization problems with both inequality and equality constraints, which eliminates the nonsmoothness of the considered problems and the numerical difficulty of the penalty method. The convergence of the proposed algorithm is analyzed under some mild assumptions, in which the sequence of the generated solutions converges locally to a Karush-Kuhn-Tucker solution at a linear rate when the penalty parameter is less than a threshold and the error bound of the solutions is also obtained. Finally, the detailed numerical results for several typical testproblems are given in order to show the performance of the proposed algorithm. |
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Keywords: | Minimax problems with general constraints nonlinear Lagrange algorithm penalty parameter rate of convergence |
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