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Ermoliev, Y.M. & Gaivoronski, A.A. (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: | 27 Aug 2021 17:10 |
| URI: | https://pure.iiasa.ac.at/2030 |
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