A MAXIMUM ENTROPY METHOD FOR A SORT OF CONSTRAINED NONDIFFERENTIABLE OPTIMIZATION PROBLEMS
一类约束不可微优化问题的极大熵方法

This paper presents a maximum entropy method for solving minimax problemswith inequality constraints, in which a multi-constrained minimax problem is appro-ximated by a differentiable one with a single constraint. An augmented Lagrangianalgorithm is used to solve the resulting problem. Numerical examples are given toshow the high efficiency of the method.