Bensoussan A, Cadenillas A, Koo HK (2015) Entrepreneurial decisions on effort and project with a nonconcave objective function. Math Oper Res 40(4):902–914 Article MathSciNet Google Scholar Bogachev VI (2007) Measure theory, vol 2. Springer, Berlin Book Google Scholar Carassus L, Ráson...
T], where\(T>0\)is given upfront and the objective (utility) function is a concave. Such a utility maximization problem in a continuous-time setting dates
Entrepreneurial Decisions on Effort and Project with a Nonconcave Objective Function We propose and solve a general entrepreneurial/managerial decision-making problem. Instead of employing concave objective functions, we use a broad class o... A Bensoussan,A Cadenillas,HK Koo - 《Mathematics of Opera...
We propose an efficient algorithm for finding first-order Nash equilibria in min-max problems of the form $\\min_{x \\in X}\\max_{y \\in Y} F(x,y)$, where the objective function is smooth in both variables and concave with respect to $y$; the sets $X$ and $Y$ are convex ...
This paper proposes a method based on linear programming techniques to treat quasi-concave and non-concave fuzzy multi-objective programming (FMOP) problems. The proposed method initially presents a piecewise linear expression to interpreting a quasi-concave membership function. Then we find the convex...
Fast convergence is established in terms of both the primal objective gap and the duality gap. Compared with existing studies, (i) our analysis is based on a novel Lyapunov function consisting of the primal objective gap and the duality gap of a regularized function, and (ii) the results ...
Many optimization problems arising in high-dimensional statistics decompose naturally into a sum of several terms, where the individual terms are relatively simple but the composite objective function can only be optimized with iterative algorithms. In this paper, we are interested in optimization ...
The total number of function value queries to obtain an -stationary point of ZO-AGDA and ZO-VRAGDA algorithm for solving NC-PL minimax problem is upper bounded by O(ε2)O(ε2) and O(ε3)O(ε3), respectively. To the best of our knowledge, they are the first two zeroth-order ...
Geoffrion's cutting-plane algorithm for solving a class of nonconcave mathematical programming problems with complicating variables. In particular, Generalized Benders Decomposition (GBD) is modified to solve certain optimization problems with complicating variables where the objective function is pseudo...
The proposed dual IHT algorithm is a super-gradient method for maximizing the non-smooth dual objective. An interesting finding is that the sparse recovery performance of dual IHT is invariant to the Restricted Isometry Property (RIP), which is required by virtually all the existing primal IHT ...