An interior point algorithm for nonlinear minimax problems

  • Enitan Obasanjo
  • Berc Rustem
  • George Tzallas-Regas
    • Categories Constrained Nonlinear Optimization Tags , , , Short URL: https://optimization-online.org/?p=10656

    We present a primal-dual interior point method for constrained nonlinear, discrete minimax problems where the objective functions and constraints are not necessarily convex. The algorithm uses two merit functions to ensure progress towards the points satisfying the first order optimality conditions of the original problem. Convergence properties are described and numerical results provided.

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    Dept. of Computing, Imperial College, London SW7 2AZ, UK

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