A new minimax algorithm

Abstract

The representation min t s.t. F(I)(x). - t less than or equal to 0 for all i is examined. An active set strategy is designed of functions: active, semi-active, and non-active. This technique will help in preventing zigzagging which often occurs when an active set strategy is used. Some of the inequality constraints are handled with slack variables. Also a trust region strategy is used in which at each iteration there is a sphere around the current point in which the local approximation of the function is trusted. The algorithm is implemented into a successful computer program. Numerical results are provided.