A Partial Regularization Method for Saddle Point Seeking

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http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/3967 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/3967 http://eprints.org/relation/isCoversheetVersionOf https://pure.iiasa.ac.at/id/document/3967 archive 351 disk0/00/00/41/89 2016-01-15 02:04:42 2021-08-27 17:14:56 2016-01-15 02:04:42 monograph show 2 Ruszczynski A. 1475 A Partial Regularization Method for Saddle Point Seeking pub iis_met iis_sys prog_opt 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. 1994-03 published WP-94-020 WP-94-020 10 1544 public working_paper IIASA, Laxenburg, Austria 10 FALSE info:eu-repo/semantics/book