A modified SQP algorithm for minimax problems (Q837129)

This paper deals with nonlinear minimax problems and a Sequential Quadratic Programming (SQP) method. In this paper, the authors propose a modified nonmonotone line search SQP algorithm for nonlinear minimax problems. During each iteration of the proposed algorithm, a main search direction is obtained by solving a reduced quadratic program (QP). In order to avoid the Maratos effect, a correction direction is generated by solving the reduced system of linear equations. Under mild conditions, the global and superlinear convergence can be achieved. Preliminary numerical results show that the proposed algorithm may be effective.