Paramétrisation et approximation d'un problème non convexe ; application à un problème de gestion de portefeuille

DOI10.1051/m2an/1983170302931zbMath0517.90070OpenAlexW2586635888MaRDI QIDQ3666608

O. Lefebvre

Publication date: 1983

Published in: RAIRO. Analyse numérique (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/193419

zbMATH Keywords

perturbationportfolio selectionaugmented Lagrangianparametrisationfamily of convex problemsnonconvex and nondifferentiable problemproblem reduction by cuts

Mathematics Subject Classification ID

Nonlinear programming (90C30) Numerical methods involving duality (49M29) Sensitivity, stability, parametric optimization (90C31) Numerical methods based on nonlinear programming (49M37)

Cites Work

• Convex Analysis
• The Validity of a Family of Optimization Methods
• Point-to-Set Maps in Mathematical Programming
• Augmented Lagrange Multiplier Functions and Duality in Nonconvex Programming
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