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A NEW TRUST-REGION ALGORITHM FOR FINITE MINIMAX PROBLEM

Fusheng Wang1, Chuanlong Wang1, Li Wang2   

  1. 1. Department of Mathematics, Taiyuan Normal University, Taiyuan 030012, China;
    2. Department of Mathematics, University of California, San Diego, USA
  • Received:2010-10-30 Revised:2011-07-29 Online:2012-05-15 Published:2012-05-07

Fusheng Wang, Chuanlong Wang, Li Wang. A NEW TRUST-REGION ALGORITHM FOR FINITE MINIMAX PROBLEM[J]. Journal of Computational Mathematics, 2012, 30(3): 262-278.

In this paper, a new trust region algorithm for minimax optimization problems is proposed, which solves only one quadratic subproblem based on a new approximation model at each iteration. The approach is different with the traditional algorithms that usually require to solve two quadratic subproblems. Moreover, to avoid Maratos effect, the nonmonotone strategy is employed. The analysis shows that, under standard conditions, the algorithm has global and superlinear convergence. Preliminary numerical experiments are conducted to show the effiency of the new method.

CLC Number: 

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