On the global minimization of the value-at-risk

DOI10.1080/10556780410001704911zbMath1114.91320arXivmath/0401063OpenAlexW2084002138MaRDI QIDQ4657710

Jong-Shi Pang, Sven Leyffer

Publication date: 14 March 2005

Published in: Optimization Methods and Software (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0401063

zbMATH Keywords

smoothingbranch-and-cutlinear program with equilibrium constraints

Mathematics Subject Classification ID

Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08)

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Uses Software

• MacMPEC
• NEOS

Cites Work

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