Set-valued duality theory for multiple objective linear programs and application to mathematical finance
From MaRDI portal
Publication:1014298
DOI10.1007/s00186-008-0216-yzbMath1191.90055OpenAlexW2160987576MaRDI QIDQ1014298
Frank Heyde, Christiane Tammer, Andreas Löhne
Publication date: 27 April 2009
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00186-008-0216-y
Multi-objective and goal programming (90C29) Optimality conditions and duality in mathematical programming (90C46) Financial applications of other theories (91G80)
Related Items (14)
Strictly feasible solutions and strict complementarity in multiple objective linear optimization ⋮ A dual variant of Benson's ``outer approximation algorithm for multiple objective linear programming ⋮ Scalar Lagrange multiplier rules for set-valued problems in infinite-dimensional spaces ⋮ Classical linear vector optimization duality revisited ⋮ On duality in multiple objective linear programming ⋮ Lagrange Multiplier Rules for Weakly Minimal Solutions of Compact-Valued Set Optimization Problems ⋮ Nonlinear Scalarizations of Set Optimization Problems with Set Orderings ⋮ Set Optimization—A Rather Short Introduction ⋮ A Survey of Set Optimization Problems with Set Solutions ⋮ Benson type algorithms for linear vector optimization and applications ⋮ Editorial. Choosing sets: preface to the special issue on set optimization and applications ⋮ Characterization of set relations through extensions of the oriented distance ⋮ Solution concepts in vector optimization: a fresh look at an old story ⋮ Scalarizations for a set optimization problem using generalized oriented distance function
Cites Work
- A generalized saddlepoint theory. Its application to duality theory for linear vector optimum problems
- Scalarizing vector optimization problems
- Geometric Duality in Multiple Objective Linear Programming
- The Attainment of the Solution of the Dual Program in Vertices for Vectorial Linear Programs
- Duality for Multiple Objective Convex Programs
- Duality, Indifference and Sensitivity Analysis inr Multiple Objective Linear Programming
- On some relations between a dual pair of multiple objective linear programs
- Technical Note—Proper Efficiency and the Linear Vector Maximum Problem
- A new approach to duality in vector optimization
- Stochastic finance. An introduction in discrete time
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: Set-valued duality theory for multiple objective linear programs and application to mathematical finance
