An Inexact Bundle Method for Semi-Infinite Minimax Problems

Abstract

Semi-infinite minimax problems are widely utilized in various fields; however, there is a scarcity of algorithms that can directly tackle convex-convex and convex-concave semi-infinite minimax problems. An inexact algorithm based on the bundle method is introduced in this paper, which can be directly applied to solve both types of semi-infinite minimax problems. The novel algorithm offers the advantage of not requiring exact solutions for the inner maximization problem but only necessitates optimal solution with a certain level of precision. Additionally, the augmentation function method is employed to address nonconvergence issues encountered in traditional bundle method when dealing with convex-convex minimax problems. Global convergence of our algorithm is proven under reasonable assumptions. Numerical results from several examples demonstrate the effectiveness and practicality of our proposed approach.