A Stochastic Algorithm for Minimax Problems

Ermoliev YM & Gaivoronski AA (1982). A Stochastic Algorithm for Minimax Problems. IIASA Collaborative Paper. IIASA, Laxenburg, Austria: CP-82-088

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Abstract

This paper deals with minimax problems in which the "inner" problem of maximization is not concave. A procedure based on the approximation of the inner problem by a stochastic set of elements which can contain only two elements at each iteration is shown to converge with probability 1.

Item Type: Monograph (IIASA Collaborative Paper)
Research Programs: System and Decision Sciences - Core (SDS)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 01:51
Last Modified: 22 Jul 2016 05:01
URI: http://pure.iiasa.ac.at/2030

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