Abstract
The aim of this paper is to present an algorithm for finding a saddle point to the constrained minimax problem. The initial problem is transformed into an equivalent equality constrained problem, and then the interior point approach is used. To satisfy the original inequality constraints a logarithmic barrier function is used and special care is given to step size parameter to keep the variables within permitted boundaries. Numerical results illustrating the method are given.
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Žaković, S., Pantelides, C. & Rustem, B. An Interior Point Algorithm for Computing Saddle Points of Constrained Continuous Minimax. Annals of Operations Research 99, 59–77 (2000). https://doi.org/10.1023/A:1019284715657
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DOI: https://doi.org/10.1023/A:1019284715657