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Nonlinear-programming reformulation of the order-value optimization problem

机译:阶数值优化问题的非线性程序化

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摘要

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.
机译:订单价值优化(OVO)是对极小极大问题的概括,其由不确定性和稳健估计下的决策问题引起。得出了针对该非平滑优化问题的新的最优性条件。推导了具有均衡约束的等效数学规划问题。研究了OVO与这种非线性编程公式之间的关系。特别注意两个问题的局部极小值和固定点之间的关系。

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