A modified SQP algorithm for minimax problems |
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Authors: | Qing-jie Hu Yu Chen Nei-ping Chen Xue-quan Li |
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Institution: | aDepartment of Information, Hunan Business College, 410205, Changsha, PR China;bDepartment of Mathematics, Hunan First Normal College, 410205, Changsha, PR China |
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Abstract: | In this paper, a modified nonmonotone line search SQP algorithm for nonlinear minimax problems is presented. During each iteration of the proposed algorithm, a main search direction is obtained by solving a reduced quadratic program (QP). In order to avoid the Maratos effect, a correction direction is generated by solving the reduced system of linear equations. Under mild conditions, the global and superlinear convergence can be achieved. Finally, some preliminary numerical results are reported. |
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Keywords: | Minimax problems SQP algorithm Nonmonotone line search Global convergence Superlinear convergence |
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