A note on solving nonlinear minimax problems via a differentiable penalty function (Q795737)

The note demonstrates that modelling a nonlinear minimax problem as a nonlinear programming problem and applying a classical differentiable penalty function to attempt to solve the problem can lead to convergence to a stationary point of the penalty function which is not a feasible point of the nonlinear programming problem. This occured naturally in an application from statistical reliability theory. The note resolves the problem through modification of both the problem formulation and the iterative penalty function method.