Composite semi-infinite optimization

Darinka Dentcheva, Andrzej Ruszczyński

Research output: Contribution to journalArticlepeer-review

11 Scopus citations

Abstract

We consider a semi-infinite optimization problem in Banach spaces, where both the objective functional and the constraint operator are compositions of convex nonsmooth mappings and differentiable mappings. We derive necessary optimality conditions for these problems. Finally, we apply these results to nonconvex stochastic optimization problems with stochastic dominance constraints, generalizing earlier results.

Original languageEnglish
Pages (from-to)633-646
Number of pages14
JournalControl and Cybernetics
Volume36
Issue number3
StatePublished - 2007

Keywords

  • Composite optimization
  • Nonsmooth optimization
  • Semi-infinite optimization
  • Stochastic dominance
  • Stochastic programming

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