Journal of Optimization Theory and Applications

, Volume 144, Issue 2, pp 291–318 | Cite as

An Interior-Point Algorithm for Nonlinear Minimax Problems

Article

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 toward 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 strategies 

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Copyright information

© Springer Science+Business Media, LLC 2009

Authors and Affiliations

  1. 1.Equity Derivatives Group–Systematic TradingBarclays CapitalLondonUK
  2. 2.Department of ComputingImperial College LondonLondonUK

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