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SDMINMAX

swMATH ID: 36992
Software Authors: Liuzzi, G.; Lucidi, S.; Sciandrone, M.
Description: DFL - A Derivative-Free Library - SDMINMAX: A derivative-free algorithm for linearly constrained finite minimax problems. 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 exponentialpenalty 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.
Homepage: http://www.iasi.cnr.it/~liuzzi/DFL/index.php/list3/13-nonsmooth-optimization-and-minimax-problems/15-sdminmax
Dependencies: Fortran90
Keywords: derivative-free optimization; linearly constrained finite minimax problems; non-smooth optimization
Related Software: DFLBOX; DFL; SDPEN; DFBOX_IMPR; DGM; SDBOX; KELLEY; IMFIL; BOBYQA; DFO; NOMAD; GradSamp; CUTEr; OrthoMADS; APPSPACK; DFN; MultiGLODS; DeepHyper; DFMO; MOIF
Cited in: 12 Publications

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