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Nonlinear-Programming Reformulation of the Order-Value Optimization problem

Roberto Andreani (andreani***at***ime.unicamp.br)
Cibele Dunder (dunder***at***ime.usp.br)
José Mario Martínez (martinez***at***ime.unicamp.br)

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.

Keywords: Order-value optimization, optimality conditions, nonlinear-programming, equilibrium constraints, optimization algorithms.

Category 1: Nonlinear Optimization


Download: [Postscript][Compressed Postscript]

Entry Submitted: 09/17/2004
Entry Accepted: 09/17/2004
Entry Last Modified: 09/17/2004

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