数学
凸性
数学优化
稳健优化
最优化问题
约束(计算机辅助设计)
几何学
金融经济学
经济
作者
Gue Myung Lee,Phạm Tiến Sơn
出处
期刊:Bulletin of The Korean Mathematical Society
[The Korean Mathematical Society]
日期:2014-01-31
卷期号:51 (1): 287-301
被引量:36
标识
DOI:10.4134/bkms.2014.51.1.287
摘要
In this paper, we prove a necessary optimality theorem for a nonsmooth optimization problem in the face of data uncertainty, which is called a robust optimization problem. Recently, the robust optimization problems have been intensively studied by many authors. Moreover, we give examples showing that the convexity of the uncertain sets and the concavity of the constraint functions are essential in the optimality theorem. We present an example illustrating that our main assumptions in the optimality theorem can be weakened.
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