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Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica, 2010, Number 1, Pages 33–46 (Mi basm247)  

Research articles

A probabilistic method for solving minimax problems with general constraints

Anatol Godonoagaa, Pavel Balanb

a Academy of Economic Studies, Chisinau, Moldova
b Moldova State University, Chisinau, Moldova
References:
Abstract: The method proposed in paper solves a convex minimax problem with a set of general constraints. It is based on a schema elaborated previously, but with constraints that can be projected on quite elementary. Such kind of problems are often encountered in technical, economical applied domains etc. It does not use penalty functions or Lagrange function – common toolkit for solving above mentioned problems. Movement directions have a stochastic nature and are built using estimators corresponding to target function and functions from constraints. At the same time every iteration admits some tolerance limits regarding non-compliance with constraints conditions.
Keywords and phrases: minimax problems, stochastic, convex, nondifferentiable, optimization, subgradient, constraints, probability repartition, estimator, almost certain, with probability 1, convergence, Borel–Cantelli.
Received: 23.05.2009
Bibliographic databases:
Document Type: Article
Language: English
Citation: Anatol Godonoaga, Pavel Balan, “A probabilistic method for solving minimax problems with general constraints”, Bul. Acad. Ştiinţe Repub. Mold. Mat., 2010, no. 1, 33–46
Citation in format AMSBIB
\Bibitem{GodBal10}
\by Anatol~Godonoaga, Pavel~Balan
\paper A probabilistic method for solving minimax problems with general constraints
\jour Bul. Acad. \c Stiin\c te Repub. Mold. Mat.
\yr 2010
\issue 1
\pages 33--46
\mathnet{http://mi.mathnet.ru/basm247}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=2676571}
\zmath{https://zbmath.org/?q=an:1196.49017}
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