BIT Numerical Mathematics

, Volume 34, Issue 3, pp 372–387 | Cite as

Corrected sequential linear programming for sparse minimax optimization

  • Kristján Jónasson
  • Kaj Madsen
Article

Abstract

We present a new algorithm for nonlinear minimax optimization which is well suited for large and sparse problems. The method is based on trust regions and sequential linear programming. On each iteration a linear minimax problem is solved for a basic step. If necessary, this is followed by the determination of a minimum norm corrective step based on a first-order Taylor approximation. No Hessian information needs to be stored. Global convergence is proved. This new method has been extensively tested and compared with other methods, including two well known codes for nonlinear programming. The numerical tests indicate that in many cases the new method can find the solution in just as few iterations as methods based on approximate second-order information. The tests also show that for some problems the corrective steps give much faster convergence than for similar methods which do not employ such steps.

AMS subject classification

65K10 

Key words

Nonlinear minimax optimization sequential linear programming sparse nonlinear programming 

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Copyright information

© BIT Foundation 1994

Authors and Affiliations

  • Kristján Jónasson
    • 1
  • Kaj Madsen
    • 1
  1. 1.Institute of Mathematical ModellingTechnical University of DenmarkLyngbyDenmark

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