Inexact smoothing method for large scale minimax optimization (Q425468)
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scientific article; zbMATH DE number 6043895
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Inexact smoothing method for large scale minimax optimization |
scientific article; zbMATH DE number 6043895 |
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Inexact smoothing method for large scale minimax optimization (English)
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8 June 2012
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nondifferentiable optimization
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minimax problem
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inexact
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maximum entropy
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The authors consider the finite minimax optimization problem NEWLINE\[NEWLINE\min_{x\in\mathbb{R}^n}\,F(x),\quad\text{where }F(x)= \max_{j\in 1_m}\,f^j(x).NEWLINE\]NEWLINE For this problem, the authors propose a smoothing method based on a maximum entropy function and an inexact Newton-type algorithm for its solution. The algorithm is shown to both globally and superlinearly convergent.NEWLINENEWLINENumerical results are presented.
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