Looking for appropriate qualification conditions for subdifferential formulae and dual representations for convex risk measures

DOI10.1007/S00186-011-0359-0MaRDI QIDQ1935901zbMATH OpenOpenAlexFDO

Authors Radu I. Boţ, Alina-Ramona Frătean

Publication date 20 February 2013

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

Full work available at URL https://arxiv.org/abs/1005.2487

zbMATH Keywords

convex risk measuresqualification conditionsoptimized certainty equivalentmonotone and cash-invariant hulls

Mathematics Subject Classification ID

Convex programming (90C25) Optimality conditions and duality in mathematical programming (90C46) Duality theory (optimization) (49N15)

Abstract: A fruitful idea, when providing subdifferential formulae and dual representations for convex risk measures, is to make use of the conjugate duality theory in convex optimization. In this paper we underline the outstanding role played by the qualification conditions in the context of different problem formulations in this area. We show that not only the meanwhile classical generalized interiority point ones come here to bear, but also a recently introduced one formulated by means of the quasi-relative interior.

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Cited in

(2)

• Convex risk minimization via proximal splitting methods
• Old-new methods for computing subdifferential formulae for convex risk functions

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