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Order-Value Optimization: Formulation and solution by means of a primal cauchy method

Author

Listed:
  • Roberto Andreani
  • Cibele Dunder
  • José Mario Martínez

Abstract

The Order-Value Optimization (OVO) problem is a generalization of the classical Minimax problem. Instead of the maximum of a set functions, the functional value that ranks in the p-th place is minimized. The problem seeks the application to (non-pessimistic) decision making and to model fitting in the presence of (perhaps systematic) outliers. A Cauchy-type method is introduced that solves the problem in the sense that every limit point satisfies an adequate optimality condition. Numerical examples are given. Copyright Springer-Verlag 2003

Suggested Citation

  • Roberto Andreani & Cibele Dunder & José Mario Martínez, 2003. "Order-Value Optimization: Formulation and solution by means of a primal cauchy method," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 58(3), pages 387-399, December.
    • Handle: RePEc:spr:mathme:v:58:y:2003:i:3:p:387-399
    DOI: 10.1007/s001860300297
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    Cited by:

    1. Zhongyi Jiang & Qiying Hu & Xiaojin Zheng, 2017. "Optimality condition and complexity of order-value optimization problems and low order-value optimization problems," Journal of Global Optimization, Springer, vol. 69(2), pages 511-523, October.

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