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An Interior-Point algorithm for Nonlinear Minimax Problems

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Author Info

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

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    File URL: http://comisef.eu/files/wps019.pdf
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    Bibliographic Info

    Paper provided by COMISEF in its series Working Papers with number 019.

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    Length: 40 pages
    Date of creation: 06 Nov 2009
    Date of revision:
    Handle: RePEc:com:wpaper:019

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    Web page: http://www.comisef.eu

    Related research

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

    This paper has been announced in the following NEP Reports:

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