Primal-dual methods for solving infinite-dimensional games

Pavel Dvurechensky, Yurii Nesterov, Vladimir Spokoiny

Research output: Contribution to journalArticlepeer-review

4 Citations (Scopus)

Abstract

In this paper, we show that the infinite-dimensional differential games with simple objective functional can be solved in a finite-dimensional dual form in the space of dual multipliers for the constraints related to the end points of the trajectories. The primal solutions can be easily reconstructed by the appropriate dual subgradient schemes. The suggested schemes are justified by the worst-case complexity analysis.

Original languageEnglish
Article numberA002
Pages (from-to)23-51
Number of pages29
JournalJournal of Optimization Theory and Applications
Volume166
Issue number1
DOIs
Publication statusPublished - 2015
Externally publishedYes

Keywords

  • Convex optimization
  • Differential games
  • Primal-dual optimization methods
  • Saddle-point problems

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