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We prove that the-optimal solutions of convex optimization problems are Lipschitz continuous with respect to data perturbations when these are measured in terms of the epi-distance. A similar property is obtained for the distance between the level sets of extended real valued functions. We also show that these properties imply that the-subgradient mapping is Lipschitz continuous.Research supported in part by the National Science Foundation and the Air Force Office of Scientific Research. 相似文献
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Convexity has long had an important role in economic theory, but some recent developments have featured it all the more in problems of equilibrium. Here the tools of convex analysis are applied to a basic model of incomplete financial markets in which assets are traded and money can be lent or borrowed between the present and future. The existence of an equilibrium is established with techniques that include bounds derived from the duals to problems of utility maximization. Composite variational inequalities furnish the modeling platform. Models with and without short-selling are handled, moreover in the absence of any requirement that agents must initially have a positive amount of every asset, as is typical in equilibrium work in economics. 相似文献
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Data for optimization problems often comes from (deterministic) forecasts, but it is naïve to consider a forecast as the only future possibility. A more sophisticated approach uses data to generate alternative future scenarios, each with an attached probability. The basic idea is to estimate the distribution of forecast errors and use that to construct the scenarios. Although sampling from the distribution of errors comes immediately to mind, we propose instead to approximate rather than sample. Benchmark studies show that the method we propose works well. 相似文献
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Gabriella Salinetti Roger J.B Wets 《Journal of Mathematical Analysis and Applications》1977,60(1):211-226
Theory and applications have shown that there are two important types of convergence for convex functions: pointwise convergence and convergence in a topology induced by the convergence of their epigraphs. We show that these two types of convergence are equivalent on the class of convex functions which are equi-lower semicontinuous. This turns out to be maximal classes of convex functions for which this equivalence can be obtained. We also indicate a number of implications of these results to the convergence of convex sets and the corresponding support functions and to the convergence of the infima of sequences of convex minimization problems. 相似文献
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Given a weakly converging sequence of measures, we study the convergence of the corresponding integrals of a continuous unbounded multifunction. We also study the implication of these results to variational problems, and provide further approximating results for the integral of a multifunction, involving both truncation of the multifunction and measure approximation. 相似文献
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The uniform convergence of empirical processes on certain classes of sets follows from the convergence theory for random lower semicontinuous functions studies in the context of stochastic optimization. In the process, a richer class of sets for which one can prove this type of result is exhibited.Research supported in part by grants from Ministero Publica Istruzione and the National Science Foundation. 相似文献
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Roger J -B. Wets 《Annals of Operations Research》1984,1(1):3-22
We review some modeling alternatives for handling risk in decision-making processes for unconstrained stochastic optimization problems. Solution strategies are discussed and compared.Invited lecture at the International Institute on Stochastics and Optimization, Gargnano, Italy, September 1–10, 1982.Supported in part by a Guggenheim Fellowship and a grant of the National Science Foundation. 相似文献
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Veliz Fernando Badilla Watson Jean-Paul Weintraub Andres Wets Roger J.-B. Woodruff David L. 《Annals of Operations Research》2015,235(1):259-276
Annals of Operations Research - We consider the important problem of medium term forest planning with an integrated approach considering both harvesting and road construction decisions in the... 相似文献