Mathematical optimization or mathematical programming is the selection of a best element, with regard to some criteria, from some set of available alternatives. It is generally divided into two subfields: discrete optimization and continuous optimization. Optimization problems arise in all quantitative disciplines from computer science and engineering to operations research and economics, and the development of solution methods has been of interest in mathematics for centuries.
In mathematical analysis, in particular the subfields of convex analysis and optimization, a proper convex function is an extended real-valued convex function with a non-empty domain, that never takes on the value and also is not identically equal to
Convex optimization is a subfield of mathematical optimization that studies the problem of minimizing convex functions over convex sets. Many classes of convex optimization problems admit polynomial-time algorithms, whereas mathematical optimization is in general NP-hard.
Convex analysis is the branch of mathematics devoted to the study of properties of convex functions and convex sets, often with applications in convex minimization, a subdomain of optimization theory.
In mathematics, subderivatives generalizes the derivative to convex functions which are not necessarily differentiable. The set of subderivatives at a point is called the subdifferential at that point. Subderivatives arise in convex analysis, the study of convex functions, often in connection to convex optimization.
In mathematics, a quasiconvex function is a real-valued function defined on an interval or on a convex subset of a real vector space such that the inverse image of any set of the form is a convex set. For a function of a single variable, along any stretch of the curve the highest point is one of the endpoints. The negative of a quasiconvex function is said to be quasiconcave.
Subgradient methods are convex optimization methods which use subderivatives. Originally developed by Naum Z. Shor and others in the 1960s and 1970s, subgradient methods are convergent when applied even to a non-differentiable objective function. When the objective function is differentiable, sub-gradient methods for unconstrained problems use the same search direction as the method of steepest descent.
A set-valued function, also called a correspondence or set-valued relation, is a mathematical function that maps elements from one set, the domain of the function, to subsets of another set. Set-valued functions are used in a variety of mathematical fields, including optimization, control theory and game theory.
Roger Jean-Baptiste Robert Wets is a "pioneer" in stochastic programming and a leader in variational analysis who publishes as Roger J-B Wets. His research, expositions, graduate students, and his collaboration with R. Tyrrell Rockafellar have had a profound influence on optimization theory, computations, and applications. Since 2009, Wets has been a distinguished research professor at the mathematics department of the University of California, Davis.
Claude Lemaréchal is a French applied mathematician, and former senior researcher at INRIA near Grenoble, France.
The Shapley–Folkman lemma is a result in convex geometry that describes the Minkowski addition of sets in a vector space. It is named after mathematicians Lloyd Shapley and Jon Folkman, but was first published by the economist Ross M. Starr.
In economics, non-convexity refers to violations of the convexity assumptions of elementary economics. Basic economics textbooks concentrate on consumers with convex preferences and convex budget sets and on producers with convex production sets; for convex models, the predicted economic behavior is well understood. When convexity assumptions are violated, then many of the good properties of competitive markets need not hold: Thus, non-convexity is associated with market failures, where supply and demand differ or where market equilibria can be inefficient. Non-convex economies are studied with nonsmooth analysis, which is a generalization of convex analysis.
Convexity is a geometric property with a variety of applications in economics. Informally, an economic phenomenon is convex when "intermediates are better than extremes". For example, an economic agent with convex preferences prefers combinations of goods over having a lot of any one sort of good; this represents a kind of diminishing marginal utility of having more of the same good.
Robert Ralph Phelps was an American mathematician who was known for his contributions to analysis, particularly to functional analysis and measure theory. He was a professor of mathematics at the University of Washington from 1962 until his death.
Ivar I. Ekeland is a French mathematician of Norwegian descent. Ekeland has written influential monographs and textbooks on nonlinear functional analysis, the calculus of variations, and mathematical economics, as well as popular books on mathematics, which have been published in French, English, and other languages. Ekeland is known as the author of Ekeland's variational principle and for his use of the Shapley–Folkman lemma in optimization theory. He has contributed to the periodic solutions of Hamiltonian systems and particularly to the theory of Kreĭn indices for linear systems. Ekeland is cited in the credits of Steven Spielberg's 1993 movie Jurassic Park as an inspiration of the fictional chaos theory specialist Ian Malcolm appearing in Michael Crichton's 1990 novel Jurassic Park.
In convex analysis, a branch of mathematics, the effective domain extends of the domain of a function defined for functions that take values in the extended real number line
Andrzej Piotr Ruszczyński is a Polish-American applied mathematician, noted for his contributions to mathematical optimization, in particular, stochastic programming and risk-averse optimization.
In mathematics, variational analysis is the combination and extension of methods from convex optimization and the classical calculus of variations to a more general theory. This includes the more general problems of optimization theory, including topics in set-valued analysis, e.g. generalized derivatives.
In mathematics, cyclical monotonicity is a generalization of the notion of monotonicity to the case of vector-valued function.
Buffered probability of exceedance (bPOE) is a function of a random variable used in statistics and risk management, including financial risk. The bPOE is the probability of a tail with known mean value . The figure shows the bPOE at threshold as the blue shaded area. Therefore, by definition, bPOE is equal to one minus the confidence level at which the Conditional Value at Risk (CVaR) is equal to . bPOE is similar to the probability of exceedance of the threshold , but the tail is defined by its mean rather than the lowest point of the tail.
