In this paper, we propose an algorithm for solving inequality constrained mini-max optimization problem. In this algorithm, an active set strategy is used together with multiplier method to convert the inequality constrained mini-max optimization problem into unconstrained optimization problem. A trust-region method is a well-accepted technique in constrained optimization to assure global convergence and is more robust when they deal with rounding errors. One of the advantages of trust-region method is that it does not require the objective function of the model to be convex.
A global convergence analysis for the proposed algorithm is presented under some conditions. To show the efficiency of the algorithm numerical results for a number of test problems are reported.
}, issn = {1991-7139}, doi = {https://doi.org/10.4208/jcm.1705-m2016-0735}, url = {http://global-sci.org/intro/article_detail/jcm/12602.html} }