This work was presented at SEAL '10. [pdf].
We consider unconstrained minimax problem where the objective function is the maximum of a finite number of smooth convex functions. We present an iterative method to compute the optimal solution for the unconstrained convex finite minimax problem. The algorithm developed estimates the direction of steepest-descent rapidly and using Armijo’s condition proceeds towards the solution. Owing to the highly parallel nature of the algorithm, it is highly suitable for large minimax problems. Algorithm is implemented on Tesla C1060 graphics card using CUDA and numerical comparisons with RGA & CFSQP are presented.
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