Abstract
We present two second-order algorithms, one for solving a class of finite generalized min-max problems and one for solving semi-infinite generalized min-max problems. Our algorithms make use of optimality functions based on second-order approximations to the cost function and of corresponding search direction functions. Under reasonable assumptions we prove that both of these algorithms converge Q-superlinearly, with rate at least 3/2.
| Original language | English |
|---|---|
| Pages (from-to) | 937-961 |
| Number of pages | 25 |
| Journal | SIAM Journal on Optimization |
| Volume | 11 |
| Issue number | 4 |
| DOIs | |
| Publication status | Published - 1 Mar 2001 |
Keywords
- Consistent approximations
- Generalized min-max problems
- Optimality functions
- Second-order methods
- Superlinear convergence
ASJC Scopus subject areas
- General Mathematics
- Applied Mathematics
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