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Convergence of a dual algorithm for minimax problems

He S-X., Zhan L-W.

Archives of Control Sciences

2000

Vol. 10, no. 1/2

47-60

This paper studies the convergence of a dual algorithm for solving minimax problems proposed by Zhang and Tang (1997), which is based on a penalty function of Bertsekas (1982). It proves that the dual algorithm is locally convergent with linear convergence rate under the commonly used assumptions. Numerical results are presented to show the effectiveness of this algorithm.