2 citations · 6 across the 16 of their papers we have counts for
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Relaxation methods for pessimistic bilevel optimization
Imane Benchouk, Lateef Jolaoso, Khadra Nachi +1
We consider a smooth pessimistic bilevel optimization problem, where the lower-level problem is convex and satisfies the Slater constraint qualification. These assumptions ensure t…
A new problem qualification based on approximate KKT conditions for Lipschitzian optimization with application to bilevel programming
Isabella Käming, Andreas Fischer, Alain B. Zemkoho
When dealing with general Lipschitzian optimization problems, there are many problem classes where even weak constraint qualifications fail at local minimizers. In contrast to a co…
The Boosted Difference of Convex Functions Algorithm for Value-at-Risk Constrained Portfolio Optimization
Marah-Lisanne Thormann, Phan Tu Vuong, Alain B. Zemkoho
A highly relevant problem of modern finance is the design of Value-at-Risk (VaR) optimal portfolios. Due to contemporary financial regulations, banks and other financial institutio…