A Bimaximum Entropy Method for Solving Nonlinear Constrained Continuous Minimax Problem

Abstract

A numerical method is proposed for solving a sort of constrained continuous minimax problem, in which both the objective function and the constraint functions are continuously differentiable about superior decision variables and are continuous about lower decision variables .Besides,the constraint functions include only superior or lower decision variables．The problem is transformed into unconstrained differentiable problem with the idea of the discrete maximum entropy function and the continuous maximum entropy function and the penalty function method．The basic algorithm is established．The convergence is proofed．Numerical examples are given and show the efficiency and the reliability of the algorithm.