A modified SQP algorithm for minimax problems

In this paper, a modified nonmonotone line search SQP algorithm for nonlinear minimax problems is presented. During each iteration of the proposed algorithm, a main search direction is obtained by solving a reduced quadratic program (QP). In order to avoid the Maratos effect, a correction direction is generated by solving the reduced system of linear equations. Under mild conditions, the global and superlinear convergence can be achieved. Finally, some preliminary numerical results are reported.