A sequential quadratic programming algorithm for nonlinear minimax problems

Qing-Jie Hu, Ju-Zhou Hu
2007 Bulletin of the Australian Mathematical Society  
In this paper, an active set sequential quadratic programming algorithm with nonmonotone line search for nonlinear minmax problems is presented. At each iteration of the proposed algorithm, a main search direction is obtained by solving a reduced quadratic program which always has a solution. In order to avoid the Maratos effect, a correction direction is yielded by solving the reduced system of linear equations. Under mild conditions without the strict complementarity, the global and
more » ... lobal and superlinear convergence can be achieved. Finally, some preliminary numerical experiments are reported.
doi:10.1017/s0004972700039745 fatcat:nzm6etkhpbhhhmgf52qnzkyzly