Journal of Mathematical Sciences: Advances and ApplicationsAuthor's: Xiaochuan Li, Ruyue Hou and Ke Su
Pages: [119] - [134]
Received Date: February 27, 2017; Revised March 8, 2017
Submitted by:
DOI: http://dx.doi.org/10.18642/jmsaa_7100121786
In this paper, we propose a trust region filter method for minimax problems. Based on the filter technique, the minimax problem is transformed to a constrained optimization problem and solved by the traditional filter idea. In the presented algorithm, the acceptable criterion of the trial points is relaxed, so compared to the existed SQP and Newton-type methods for minimax method, this method is more flexible. Under some suitable conditions, we establish the global convergence of the algorithm.
filter method, minimax problem, trust region filter method.
