In this chapter, we consider the implementation of continuous minimax algorithms. The first is the gradient-based algorithm due to Kiwiel (1987), discussed in Section 2.4, and the second is the quasi-Newton algorithm in Chapter 4, and a simplified variant derived from this algorithm.

An important complication of continuous minimax is the presence of multiple maximizers. The contribution of these maximizers to the definition of the direction of search of an algorithm is often difficult to evaluate. We consider several strategies suggested by these algorithms for this purpose. The utility of adopting a simplified direction is evaluated. In addition, the general

EP - 120 PB - Princeton University Press PY - 2002 SN - 9780691091549 SP - 93 T2 - Algorithms for Worst-Case Design and Applications to Risk Management UR - www.jstor.org/stable/j.ctt7s093.8 Y2 - 2020/07/15/ ER -