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Title Minimax optimization without second order information
Author Wrobel, Mark (Informatics and Mathematical Modelling, Technical University of Denmark, DTU, DK-2800 Kgs. Lyngby, Denmark)
Institution Technical University of Denmark, DTU, DK-2800 Kgs. Lyngby, Denmark
Thesis level Master's thesis
Year 2003
Abstract This thesis deals with the practical and theoretical issues regarding minimax optimization. Methods for large and sparse problems are investigated and analyzed. The algorithms are tested extensively and comparisons are made to Matlab s optimization toolbox. The theory of minimax optimization is thoroughly introduced, through examples and illustrations. Algorithms for minimax are trust region based, and different strategies regarding updates are given. Exact penalty function are given an intense analysis, and theory for estimating the penalty factor is deduced.
Keywords Unconstrained and constrained minimax optimization; exact penalty functions; trust region methods; large scale optimization.
Fulltext
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Admin Creation date: 2006-06-22    Update date: 2007-09-11    Source: dtu    ID: 58669    Original MXD