Low order-value approach for solving var-constrained optimization problems
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Publication:656968
DOI10.1007/s10898-011-9656-7zbMath1269.65052OpenAlexW1985736102MaRDI QIDQ656968
José Mario Martínez, Ernesto G. Birgin, Luís Felipe Bueno, Nataša Krejić
Publication date: 13 January 2012
Published in: Journal of Global Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10898-011-9656-7
optimizationalgorithmsnumerical examplesportfolio optimizationnumerical algorithmsaugmented Lagrangianvalue at risklow order-value optimizationorder-value optimization
Numerical methods (including Monte Carlo methods) (91G60) Numerical mathematical programming methods (65K05) Nonlinear programming (90C30) Portfolio theory (91G10)
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