Abstract
We consider minimax optimization problems where each term in the objective function is a continuous, strictly decreasing function of a single variable and the constraints are linear. We develop relaxation-based algorithms to solve such problems. At each iteration, a relaxed minimax problem is solved, providing either an optimal solution or a better lower bound. We develop a general methodology for such relaxation schemes for the minimax optimization problem. The feasibility tests and formulation of subsequent relaxed problems can be done by using Phase I of the Simplex method and the Farkas multipliers provided by the final Simplex tableau when the corresponding problem is infeasible. Such relaxation-based algorithms are particularly attractive when the minimax optimization problem exhibits additional structure. We explore special structures for which the relaxed problem is formulated as a minimax problem with knapsack type constraints; efficient algorithms exist to solve such problems. The relaxation schemes are also adapted to solve certain resource allocation problems with substitutable resources. There, instead of Phase I of the Simplex method, a max-flow algorithm is used to test feasibility and formulate new relaxed problems.
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Klein, R.S., Luss, H. & Rothblum, U.G. Relaxation-based algorithms for minimax optimization problems with resource allocation applications. Mathematical Programming 64, 337–363 (1994). https://doi.org/10.1007/BF01582580
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DOI: https://doi.org/10.1007/BF01582580