Nonlinear-programming reformulation of the order-value optimization problem

R. Andreani (), C. Dunder () and J. Martínez ()

Mathematical Methods of Operations Research, 2005, vol. 61, issue 3, 365-384

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

Keywords: Order-value optimization; optimality conditions; nonlinear-programming; equilibrium constraints; optimization algorithms (search for similar items in EconPapers)
Date: 2005
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DOI: 10.1007/s001860400410

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