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An interior point algorithm for nonlinear minimax problems

Enitan Obasanjo(eao99***at***doc.ic.ac.uk)
George Tzallas-Regas(gt299***at***doc.ic.a.cuk)
Berc Rustem(br***at***doc.ic.ac.uk)

Abstract: 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.

Keywords: discrete min-max, constrained nonlinear programming, primal-dual interior point methods, stepsize strategy

Category 1: Nonlinear Optimization (Constrained Nonlinear Optimization )

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

Download: [PDF]

Entry Submitted: 01/22/2009
Entry Accepted: 01/22/2009
Entry Last Modified: 01/22/2009

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