A Partial Regularization Method for Saddle Point Seeking

Ruszczynski A (1994). A Partial Regularization Method for Saddle Point Seeking. IIASA Working Paper. IIASA, Laxenburg, Austria: WP-94-020

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Abstract

This article generalizes the Nash equilibrium approach to linear programming to the saddle point problem. The problem is shown to be equivalent to a non-zero sum game in which objectives of the players are obtained by partial regularization of the original function. Based on that, a solution method is developed in which the players improve their decisions while anticipating the steps of their opponents. Strong convergence of the method is proved and application to convex optimization is discussed.

Item Type: Monograph (IIASA Working Paper)
Research Programs: Optimization under Uncertainty (OPT)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 02:04
Last Modified: 05 Aug 2016 11:20
URI: http://pure.iiasa.ac.at/4189

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