infsolve

Solves sparse minimax problems, with linear and nonlinear constraints. The minimax residuals may or may not include absolute values (the problem needs to be expanded with extra residuals with the opposite sign).

Main features

• Reformulates the constrained minimax problem into a general nonlinear program, where the minimax residuals are included among the nonlinear constraints. The sparsity of the Jacobian of the residuals are thereby exploited, as this Jacobian is part of the nonlinear constraint Jacobian after the reformulation.
   
• Any sparse nonlinear TOMNET solver may be used to solve the nonlinear program formulation. Recommended is to use SNOPT.