On the Convergence of the Pshenichnyi-Pironneau-Polak Minimax Algorithm with an Active Set Strategy

The purpose of this technical note is to present a proof of convergence of the Pshenichnyi-Pironneau-Polak (PPP) minimax algorithm (see Algorithm 2.4.1 in Polak, Optimization: Algorithms and Consistent Approximations, Springer, [1997]), modified to use an active set strategy. This active set strategy was formally derived in Polak (Optimization: Algorithms and Consistent Approximations, Springer, [1997]) from those used in the methods of feasible directions developed by Zoutendijk (Methods of Feasible Directions, Elsevier, [1960]) and Polak (Computational Methods in Optimization: A Unified Approach, Academic, [1971]). The resulting ε-Active PPP algorithm was presented as Algorithm 2.4.34, in Polak (Optimization: Algorithms and Consistent Approximations, Springer, [1997]), without any proofs.