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作者：Mordukhovich, Boris S.
作者单位：Wayne State University
摘要：The paper is devoted to new applications of advanced tools of modern variational analysis and generalized differentiation to the study of broad classes of multiobjective optimization problems subject to equilibrium constraints in both finite-dimensional and infinite-dimensional settings. Performance criteria in multiobjective/vector optimization are defined by general preference relationships satisfying natural requirements, while equilibrium constraints are described by parameterized generali...
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作者：Gossner, Olivier; Laraki, Rida; Tomala, Tristan
作者单位：Universite PSL; Universite Paris-Dauphine; Universite PSL; Ecole Normale Superieure (ENS); Ecole des Hautes Etudes en Sciences Sociales (EHESS); Institut Polytechnique de Paris; Ecole des Ponts ParisTech; Centre National de la Recherche Scientifique (CNRS); CNRS - Institute for Humanities & Social Sciences (INSHS); Northwestern University; Institut Polytechnique de Paris; Ecole Polytechnique; heSam Universite; Conservatoire National Arts & Metiers (CNAM); Centre National de la Recherche Scientifique (CNRS)
摘要：This papers studies an optimization problem under entropy constraints arising from repeated games with signals. We provide general properties of solutions and a full characterization of optimal solutions for 2 x 2 sets of actions. As an application we compute the minmax values of some repeated games with signals.
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作者：Dentcheva, Darinka; Ruszczynski, Andrzej
作者单位：Rutgers University System; Rutgers University New Brunswick; Stevens Institute of Technology
摘要：We consider stochastic optimization problems where risk-aversion is expressed by a stochastic ordering constraint. The constraint requires that a random vector depending on our decisions stochastically dominates a given benchmark random vector. We identify a suitable multivariate stochastic order and describe its generator in terms of von Neumann-Morgenstern utility functions. We develop necessary and sufficient conditions of optimality and duality relations for optimization problems with this...
