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Nonlinear-programming reformulation of the order-value optimization problem
Registro en:
Mathematical Methods Of Operations Research. Physica-verlag Gmbh & Co, v. 61, n. 3, n. 365, n. 384, 2005.
1432-2994
WOS:000230566200002
10.1007/s001860400410
Autor
Andreani, R
Dunder, C
Martinez, JM
Institución
Resumen
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. 61 3 365 384
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