New exact penalty function for solving constrainedfinite min-max problems

This paper introduces a new exact and smooth penalty function to tackleconstrained min-max problems.By using this new penalty function and adding justone extra variable,a constrained min-max problem is transformed into an unconstrainedoptimization one.It is proved that,under certain reasonable assumptions and when thepenalty parameter is sufficiently large,the minimizer of this unconstrained optimizationproblem is equivalent to the minimizer of the original constrained one.Numerical resultsdemonstrate that this penalty function method is an effective and promising approach forsolving constrained finite min-max problems.