Order-Value Optimization: Formulation and solution by means of a primal Cauchy method

Order-Value Optimization: Formulation and solution by means of a primal Cauchy method

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Article ID: iaor20051082
Country: Germany
Volume: 58
Issue: 3
Start Page Number: 387
End Page Number: 399
Publication Date: Jan 2003
Journal: Mathematical Methods of Operations Research (Heidelberg)
Authors: , ,
Abstract:

The Order-Value Optimization problem is a generalization of the classical Minimax problem. Instead of the maximum of a set functions, the functional value that ranks in the p-th place is minimized. The problem seeks the application to (non-pessimistic) decision making and to model fitting in the presence of (perhaps systematic) outliers. A Cauchy-type method is introduced that solves the problem in the sense that every limit point satisfies an adequate optimality condition. Numerical examples are given.

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