Minimax optimization in PICOS
问题 I have a generic question on how to solve optimization problems of the Min-Max type, using the PICOS package in Python. I found little information in this context while searching the PICOS documentation and on the web as well. I can imagine a simple example of the below form. Given a matrix M, find x* = argmin_x [ max_y x^T M y ], where x > 0, y > 0, sum(x) = 1 and sum(y) = 1. I have tried a few methods, starting with the most straightforward idea of having minimax , minmax keywords in the