摘要
本文提出一个求解不等式约束的Minimax问题的滤子算法,结合序列二次规划方法,并利用滤子以避免罚函数的使用.在适当的条件下,证明了此方法的全局收敛性及超线性收敛性.数值实验表明算法是有效的.
In this paper,a filiter algorithm is proposed to solve Minimax problems with inequality constrains.Based on the sequential quadratic programming method,the penalty function is not required by filter strategy.Under some suitable conditions,the global convergence and superlinear convergence are obtained.Some numerical results show that the method in this paper is effective.
出处
《运筹学学报》
CSCD
2010年第3期109-121,共13页
Operations Research Transactions
基金
国家自然科学基金(No.61071018)
关键词
运筹学
Minimax优化问题
滤子方法
全局收敛
超线性收敛
Operations research
minimax optimization problems
filter method
global convergence
superlinear convergence
