A constrained min-max algorithm for rival models
type: Item
instance of: scholarly article
title: A constrained min-max algorithm for rival models
zbMATH Open document ID: 0646.90018
DOI: 10.1016/0165-1889(88)90021-8
author: Berç Rustem
publication date: 1988-01-01T00:00:00Z
review text: In the presence of rival models of the same system, a robust optimal policy can be computed that takes account of the existence of the rival models. A min-max, worst case design method is discussed. The latter is an extreme case of ordinary pooling of the models for policy optimization. In fact, it can be shown that the min-max strategy is the pooling that corresponds to the robust policy. If such a robust policy happens to have too high a political cost to be implemented, an alternative pooling can be formulated using the robust pooling as a guide. An algorithm is proposed for solving the min-max problem. This is based on the convexification of the minimization problem by means of the constraints. The algorithm essentially consists of a quadratic programming subproblem with equality and simple inequality constraints. The subproblem defines the direction of progress along which a step has to be taken. The stepsize is determined using an Armijo-type stepsize strategy that ensures sufficient progress towards the satisfaction of the first-order conditions. The latter also happens to be sufficient for optimality due to the convexification of the problem. The formulation of the problem, the robust policy formulation of the min- max approach and the convergence properties of the algorithm are discussed in another paper of the author [``A superlinearly convergent constrained min-max algorithm for rival models of the same system'', PROPE discussion paper No.96, Imperial Coll., London (1987)].
Mathematics Subject Classification ID: 91B62
Mathematics Subject Classification ID: 90C90
Mathematics Subject Classification ID: 65K05
Mathematics Subject Classification ID: 90C20
zbMATH DE Number: 4055332
zbMATH Keywords: robust optimal policy
zbMATH Keywords: worst case design method
zbMATH Keywords: min-max strategy
zbMATH Keywords: convexification
zbMATH Keywords: Armijo-type stepsize strategy
MaRDI profile type: Publication
full work available at URL: 0165-1889(88)90021-8
OpenAlex ID: W1966772937
cites work: A general saddle point result for constrained optimization
cites work: Q4002322
cites work: A dual approach to solving nonlinear programming problems by unconstrained optimization
cites work: A superlinearly convergent constrained min-max algorithm for rival models of the same system
published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 4055332