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Primal and dual approximation algorithms for convex vector optimization problems
Löhne, Andreas; Rudloff, Birgit; Ulus, Firdevs - In: Journal of Global Optimization 60 (2014) 4, pp. 713-736
Two approximation algorithms for solving convex vector optimization problems (CVOPs) are provided. Both algorithms … approximation algorithm, and the second one is a dual variant of it. Both algorithms provide an inner as well as an outer …
Persistent link: https://www.econbiz.de/10011151248
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Benson type algorithms for linear vector optimization and applications
Hamel, Andreas; Löhne, Andreas; Rudloff, Birgit - In: Journal of Global Optimization 59 (2014) 4, pp. 811-836
New versions and extensions of Benson’s outer approximation algorithm for solving linear vector optimization problems are presented. Primal and dual variants are provided in which only one scalar linear program has to be solved in each iteration rather than two or three as in previous...
Persistent link: https://www.econbiz.de/10010994156
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An algorithm for calculating the set of superhedging portfolios in markets with transaction costs
Löhne, Andreas; Rudloff, Birgit - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-33
Persistent link: https://www.econbiz.de/10010363905