Lagrange necessary conditions for Pareto minimizers in Asplund spaces and applications (Q654050): Difference between revisions

This paper establishes new subdifferential necessary optimality conditions for Pareto minimal points of sets and minimizers of constrained multi-objective optimization problems, where the ordering cone of an infinite-dimensional Banach space does not necessarily have an empty interior or a finite-dimensional span. The approach presented combines the scalarization scheme and several advanced tools from variational calculus. After giving some necessary basics of generalized differentiation and variational calculus in Section 2, the main results are presented in Section 3: necessary optimality conditions for Pareto minimal points of sets (Theorems 3.1 and 3.6), for Pareto optimal solutions of vector optimization problems (Theorem 3.8), and minimizers of set-valued optimization problems (Theorem 3.10). Section 4 considers two applications in mathematical finance and in approximation theory. In particular, as a financial application, the minimization of risk under specific circumstances is studied and as an example for coherent risk measures, the conditional value at risk and the worst-case risk measure are considered.