Nonlinear-programming reformulation of the order-value optimization problem

被引：11
|
作者：
Andreani, R
Dunder, C
Martínez, JM
机构：
[1] UNICAMP, IMECC, Dept Appl Math, BR-13081970 Campinas, SP, Brazil
[2] Univ Sao Paulo, IME, Dept Appl Math, BR-05508900 Sao Paulo, Brazil
来源：
MATHEMATICAL METHODS OF OPERATIONS RESEARCH | 2005年 / 61卷 / 03期
关键词：
order-value optimization; optimality conditions; nonlinear-programming; equilibrium constraints; optimization algorithms;
D O I：
10.1007/s001860400410
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
Order-value optimization (OVO) is a generalization of the minimax problem motivated by decision-making problems under uncertainty and by robust estimation. New optimality conditions for this nonsmooth optimization problem are derived. An equivalent mathematical programming problem with equilibrium constraints is deduced. The relation between OVO and this nonlinear-programming reformulation is studied. Particular attention is given to the relation between local minimizers and stationary points of both problems.
引用
收藏
页码：365 / 384
页数：20
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