利用函数逼近论的思想和数学规划最优解的稳定性理论,提出了一种求解非线性约束的极大极小问题的信赖域拟牛顿算法,并且该算法具有全局收敛性,初步的数值试验表明,对于该类极大极小问题,该算法具有良好的数值表现。
Based on the theory of function approximation and the stability theory of optimal solutions in mathematical programming, a trust-region quasi-Newton method for solving the minimax problem with nonlinear constraints is proposed. The algorithm which resolves general minimax problems is global convergent. Preliminary numerical experiments show that the proposed algorithm is effective.