A derivative-free algorithm for linearly constrained finite minimax problems (Articolo in rivista)

Type
Label
  • A derivative-free algorithm for linearly constrained finite minimax problems (Articolo in rivista) (literal)
Anno
  • 2006-01-01T00:00:00+01:00 (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#doi
  • 10.1137/040615821 (literal)
Alternative label
  • Liuzzi G.; Lucidi S.; Sciandrone M. (2006)
    A derivative-free algorithm for linearly constrained finite minimax problems
    in SIAM journal on optimization (Print); SIAM Publications, Philadelphia (Stati Uniti d'America)
    (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#autori
  • Liuzzi G.; Lucidi S.; Sciandrone M. (literal)
Pagina inizio
  • 1054 (literal)
Pagina fine
  • 1075 (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#url
  • http://epubs.siam.org/siopt/resource/1/sjope8/v16/i4/p1054_s1 (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#numeroVolume
  • 16 (literal)
Rivista
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#pagineTotali
  • 22 (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#numeroFascicolo
  • 4 (literal)
Note
  • JSTOR (literal)
  • ISI Web of Science (WOS) (literal)
  • Science direct - Elsevier (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#affiliazioni
  • Liuzzi G.: IASI, CNR Lucidi S.: Università di Roma \"La Sapienza\" Sciandrone M.: Università di Firenze (literal)
Titolo
  • A derivative-free algorithm for linearly constrained finite minimax problems (literal)
Abstract
  • In this paper we propose a new derivative-free algorithm for linearly constrained finite minimax problems. Due to the nonsmoothness of this class of problems, standard derivative-free algorithms can locate only points which satisfy weak necessary optimality conditions. In this work we define a new derivative-free algorithm which is globally convergent toward standard stationary points of the finite minimax problem. To this end, we convert the original problem into a smooth one by using a smoothing technique based on the exponential penalty function of Kort and Bertsekas. This technique depends on a smoothing parameter which controls the approximation to the finite minimax problem. The proposed method is based on a sampling of the smooth function along a suitable search direction and on a particular updating rule for the smoothing parameter that depends on the sampling stepsize. Numerical results on a set of standard minimax test problems are reported. (literal)
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