TITLE:
A Nonmonotone Filter Method for Minimax Problems
AUTHORS:
Qi Zhao, Nan Guo
KEYWORDS:
Minimax Problem, Nonmonotone, Global Convergence, Filter Methods
JOURNAL NAME:
Applied Mathematics,
Vol.2 No.11,
November
30,
2011
ABSTRACT: In this paper, we propose a modified trust-region filter method algorithm for Minimax problems, which based on the framework of SQP-filter method and associated with the technique of nonmonotone method. We use the SQP subproblem to acquire an attempt step, and use the filter to weigh the effect of the attempt step so as to avoid using penalty function. The algorithm uses the Lagrange function as a merit function and the nonmonotone filter to improve the effect of the algorithm. Under some mild conditions, we prove the global convergence.