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An Interior-Point algorithm for Nonlinear Minimax Problems

Author

Listed:
  • E. Obasanjo
  • G. Tzallas-Regas
  • B. Rustem

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.

Suggested Citation

  • E. Obasanjo & G. Tzallas-Regas & B. Rustem, 2009. "An Interior-Point algorithm for Nonlinear Minimax Problems," Working Papers 019, COMISEF.
    • Handle: RePEc:com:wpaper:019
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    Keywords

    Discrete min-max; Constrained nonlinear programming; Primal-dual interior-point methods; Stepsize strategies.;
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