Nonlinear-programming reformulation of the order-value optimization problem

DOI10.1007/S001860400410MaRDI QIDQ2573785zbMATH OpenOpenAlexFDO

Authors Cibele Dunder, R. Andreani, J. M. Martínez

Publication date 24 November 2005

Published in Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s001860400410

zbMATH Keywords

equilibrium constraintsoptimality conditionsoptimization algorithmsnonlinear-programmingOrder-value optimization

Mathematics Subject Classification ID

Optimality conditions and duality in mathematical programming (90C46) Nonlinear programming (90C30) Minimax problems in mathematical programming (90C47)

Recommendations

• Order-value optimization: formulation and solution by means of a primal Cauchy method
• Optimality condition and complexity of order-value optimization problems and low order-value optimization problems
• Quais-Newton methods for order-value optimization and value-at-risk calculations
• Generalized order-value optimization
• Global order-value optimization by means of a multistart harmonic oscillator tunneling strategy

Cited in

(11)

• Quais-Newton methods for order-value optimization and value-at-risk calculations
• Low order-value approach for solving var-constrained optimization problems
• Convergence properties of a second order augmented Lagrangian method for mathematical programs with complementarity constraints
• Global order-value optimization by means of a multistart harmonic oscillator tunneling strategy
• Feasibility problems with complementarity constraints
• A robust method based on LOVO functions for solving least squares problems
• Order-value optimization: formulation and solution by means of a primal Cauchy method
• Generalized order-value optimization
• VaR optimal portfolio with transaction costs
• Optimality condition and complexity of order-value optimization problems and low order-value optimization problems
• Low order-value optimization and applications

This page was built for publication: Nonlinear-programming reformulation of the order-value optimization problem

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2573785)