Chapter 3. Algorithms For Computing Saddle Points

Chapters in this book

1. Frontmatter i
2. Contents vii
3. Preface xiii
4. Chapter 1. Introduction to Minimax 1
5. Chapter 2. A Survey Of Continuous Minimax Algorithms 23
6. Chapter 3. Algorithms For Computing Saddle Points 37
7. Chapter 4. A Quasi-Newton Algorithm For Continuous Minimax 63
8. Chapter 5. Numerical Experiments With Continuous Minimax Algorithms 93
9. Chapter 6 Minimax As A Robust Strategy For Discrete Rival Scenarios 121
10. Chapter 7 Discrete Minimax Algorithm For Equality And Inequality Constrained Models 139
11. Chapter 8. A Continuous Minimax Strategy For Options Hedging 179
12. Chapter 9. Minimax and Asset Allocation Problems 247
13. Chapter 10. Asset/Liability Management Under Uncertainty 291
14. Chapter 11 Robust Currency Management 341
15. Index 381