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Semi-Infinite Programming: Properties and Applications to Economics

In: New Tools of Economic Dynamics

Author

Listed:
  • Francisco Guerra Vázquez

    (Universidad de las Américas)

  • Jan-J. Rückmann

    (Universidad de las Americas)

Abstract

Summary In recent years the semi-infinite programming became one of the most substantial research topics in the field of operations research. The goal of this paper is to make more familiar to a broader class of mathematicians, economists and engineers the idea of what is a semi-infinite programming problem and how it can be applied to the modelling and solution of real-life problems from economics, finance and engineering. Several examples illustrate the characteristic geometric features of this class of problems as well as their consequences for the use of solution methods. Then, the paper refers to applications which are modelled as semi-infinite programming problems: a control problem, a Stackelberg game, a portfolio problem, a robust optimization problem and a technical trading system for future contracts. Finally, conclusions and open questions are discussed and a special bibliography on applications of semi-infinite programming is presented.

Suggested Citation

  • Francisco Guerra Vázquez & Jan-J. Rückmann, 2005. "Semi-Infinite Programming: Properties and Applications to Economics," Lecture Notes in Economics and Mathematical Systems, in: Jacek Leskow & Lionello F. Punzo & Martín Puchet Anyul (ed.), New Tools of Economic Dynamics, chapter 22, pages 373-393, Springer.
    • Handle: RePEc:spr:lnechp:978-3-540-28444-4_22
    DOI: 10.1007/3-540-28444-3_22
    as

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