A Dual and Interior Point Approach to Solve Convex Min-Max Problems
Jos F. Sturm and Shuzhong Zhang
In this paper we propose an interior point method for solving the dual
form of min-max type problems. The dual variables are updated by means
of a scaling supergradient method. The boundary of the dual feasible
region is avoided by the use of a logarithmic barrier function. A major
difference with other interior point methods is the nonsmoothness of
the objective function. As a consequence, we no longer require smoothness
conditions on the original problem. Convergence of the proposed method
is established.
Contact: [email protected], [email protected]
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