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Nonlinear-programming reformulation of the order-value optimization problem

Author

Listed:
  • R. Andreani
  • C. Dunder
  • J. Martínez

Abstract

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. Copyright Springer-Verlag 2005

Suggested Citation

  • R. Andreani & C. Dunder & J. Martínez, 2005. "Nonlinear-programming reformulation of the order-value optimization problem," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 61(3), pages 365-384, July.
    • Handle: RePEc:spr:mathme:v:61:y:2005:i:3:p:365-384
    DOI: 10.1007/s001860400410
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    Cited by:

    1. E. Birgin & L. Bueno & N. Krejić & J. Martínez, 2011. "Low order-value approach for solving VaR-constrained optimization problems," Journal of Global Optimization, Springer, vol. 51(4), pages 715-742, December.
    2. Andreani, R. & Júdice, J.J. & Martínez, J.M. & Martini, T., 2016. "Feasibility problems with complementarity constraints," European Journal of Operational Research, Elsevier, vol. 249(1), pages 41-54.
    3. 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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