An SQP Algorithm For Finely Discretized Continuous Minimax Problems And Other Minimax Problems With Many Objective Functions

. A common strategy for achieving global convergence in the solution of semi-infinite programming (SIP) problems, and in particular of continuous minimax problems, is to (approximately) solve a sequence of discretized problems, with a progressively finer discretization meshes. Finely discretized minimax and SIP problems, as well as other problems with many more objectives /constraints than variables, call for algorithms in which successive search directions are computed based on a small but significant subset of the objectives/constraints, with ensuing reduced computing cost per iteration and decreased risk of numerical difficulties. In this paper, an SQP-type algorithm is proposed that incorporates this idea in the particular case of minimax problems. The general case will be considered in a separate paper. The quadratic programming subproblem that yields the search direction involves only a small subset of the objective functions. This subset is updated at each iteration in such a wa..