Semi-Infinite Programming: Properties and Applications to Economics

Francisco Guerra Vázquez () and Jan-J. Rückmann ()
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Francisco Guerra Vázquez: Universidad de las Américas
Jan-J. Rückmann: Universidad de las Americas

Chapter 22 in New Tools of Economic Dynamics, 2005, pp 373-393 from Springer

Abstract: Summary In recent years the semi-infinite programming became one of the most substantial research topics in the field of operations research. The goal of this paper is to make more familiar to a broader class of mathematicians, economists and engineers the idea of what is a semi-infinite programming problem and how it can be applied to the modelling and solution of real-life problems from economics, finance and engineering. Several examples illustrate the characteristic geometric features of this class of problems as well as their consequences for the use of solution methods. Then, the paper refers to applications which are modelled as semi-infinite programming problems: a control problem, a Stackelberg game, a portfolio problem, a robust optimization problem and a technical trading system for future contracts. Finally, conclusions and open questions are discussed and a special bibliography on applications of semi-infinite programming is presented.

Keywords: (Generalized) semi-infinite programming; feasible set; topological properties; optimal control; Stackelberg games; portfolio; robust optimization; trading system; future contracts (search for similar items in EconPapers)
Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:spr:lnechp:978-3-540-28444-4_22

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DOI: 10.1007/3-540-28444-3_22

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