Please use this identifier to cite or link to this item:
https://scholarbank.nus.edu.sg/handle/10635/45067
DC Field | Value | |
---|---|---|
dc.title | A predictor-corrector algorithm for a class of nonlinear saddle point problems | |
dc.contributor.author | Sun, J. | |
dc.contributor.author | Zhu, J. | |
dc.contributor.author | Zhao, G. | |
dc.date.accessioned | 2013-10-10T05:02:35Z | |
dc.date.available | 2013-10-10T05:02:35Z | |
dc.date.issued | 1997 | |
dc.identifier.citation | Sun, J.,Zhu, J.,Zhao, G. (1997). A predictor-corrector algorithm for a class of nonlinear saddle point problems. SIAM Journal on Control and Optimization 35 (2) : 532-551. ScholarBank@NUS Repository. | |
dc.identifier.issn | 03630129 | |
dc.identifier.uri | http://scholarbank.nus.edu.sg/handle/10635/45067 | |
dc.description.abstract | An interior path-following algorithm is proposed for solving the nonlinear saddle point problem minimax cT x + φ(x) + bT y - ψ(y) -yT Ax subject to (x, y) ∈ X x Y ⊂ Rn x Rm, where φ(x) and ψ(y) are smooth convex functions and X and Y are boxes (hyperrectangles). This problem is closely related to the models in stochastic programming and optimal control studied by Rockafellar and Wets (Math. Programming Studies, 28 (1986), pp. 63-93; SIAM J. Control Optim., 28 (1990), pp. 810-822). Existence and error-bound results on a central path are derived. Starting from an initial solution near the central path with duality gap O(μ), the algorithm finds an ∈-optimal solution of the problem in O(√m + n| log μ/∈|) iterations if both φ(x) and ψ(y) satisfy a scaled Lipschitz condition. | |
dc.source | Scopus | |
dc.subject | Interior point methods | |
dc.subject | Nonlinear complementarity problem | |
dc.subject | Optimal control | |
dc.subject | Saddle point problem | |
dc.subject | Stochastic programming | |
dc.type | Article | |
dc.contributor.department | DECISION SCIENCES | |
dc.contributor.department | MATHEMATICS | |
dc.description.sourcetitle | SIAM Journal on Control and Optimization | |
dc.description.volume | 35 | |
dc.description.issue | 2 | |
dc.description.page | 532-551 | |
dc.description.coden | SJCOD | |
dc.identifier.isiut | NOT_IN_WOS | |
Appears in Collections: | Staff Publications |
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