1. Nonmonotone algorithm for minimax optimization problems
- Author
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Wang, Fusheng and Wang, Yanping
- Subjects
- *
MATHEMATICAL optimization , *NONMONOTONIC logic , *FINANCE , *MANAGEMENT , *ENGINEERING , *ALGORITHMS , *CHEBYSHEV approximation , *PROBLEM solving , *STOCHASTIC convergence , *NUMERICAL analysis - Abstract
Abstract: Many real life problems can be stated as a minimax optimization problem, such as the problems in economics, finance, management, engineering and other fields. In this paper, we present an algorithm with nonmonotone strategy and second-order correction technique for minimax optimization problems. Using this scheme, the new algorithm can overcome the difficulties of the Maratos effect occurred in the nonsmooth optimization, and the global and superlinear convergence of the algorithm can be achieved accordingly. Numerical experiments indicate some advantages of this scheme. [Copyright &y& Elsevier]
- Published
- 2011
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