||Minimax optimization without second order information
||Wrobel, Mark (Informatics and Mathematical Modelling, Technical University of Denmark, DTU, DK-2800 Kgs. Lyngby, Denmark)
||Technical University of Denmark, DTU, DK-2800 Kgs. Lyngby, Denmark
||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.
||Unconstrained and constrained minimax optimization; exact penalty functions; trust region methods; large scale optimization.
Creation date: 2006-06-22
Update date: 2007-09-11