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Nonlinear-programming reformulation of the order-value optimization problem

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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.

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Authors and Affiliations

  1. Department of Applied Mathematics, IMECC-UNICAMP, University of Campinas, CP 6065, 13081-970, Campinas, SP, Brazil

    R. Andreani & J. M. Martínez

  2. Department of Applied Mathematics, IME-USP, University of Sao Paulo, CEP 05508-900, SP, Sao Paulo, Brazil

    C. Dunder

Authors
  1. R. Andreani
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  2. C. Dunder
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  3. J. M. Martínez
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Corresponding author

Correspondence to R. Andreani.

Additional information

Manuscript received: April 2004 / Final version received: September 2004

This research was supported by CNPq and FAPESP (PT 2001-04597-4)

This author was supported by FAPESP (Grant 01/05492-1) and CNPq (Grant 301115/96-6).

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Andreani, R., Dunder, C. & Martínez, J.M. Nonlinear-programming reformulation of the order-value optimization problem. Math Meth Oper Res 61, 365–384 (2005). https://doi.org/10.1007/s001860400410

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  • DOI: https://doi.org/10.1007/s001860400410

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