Stochastic variational inequalities: single-stage to multistage

DOI10.1007/s10107-016-0995-5zbMath1378.49010OpenAlexW2306243954MaRDI QIDQ1680970

R. Tyrrell Rockafellar, Roger J.-B. Wets

Publication date: 17 November 2017

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10107-016-0995-5

zbMATH Keywords

dualizationstochastic decompositionstochastic variational inequalitiesprice of informationmultistage stochastic equilibriummultistage stochastic optimizationnonanticipativityresponse rules

Mathematics Subject Classification ID

Variational inequalities (49J40) Stochastic programming (90C15) Optimal stochastic control (93E20) Decomposition methods (49M27) Numerical methods for variational inequalities and related problems (65K15)

Related Items

Stochastic Variational Inequality Approaches to the Stochastic Generalized Nash Equilibrium with Shared Constraints, Two-stage stochastic variational inequalities for Cournot-Nash equilibrium with risk-averse players under uncertainty, New First-Order Algorithms for Stochastic Variational Inequalities, A stochastic Nash equilibrium problem for medical supply competition, Averaging principle for stochastic variational inequalities with application to PDEs with nonlinear Neumann conditions, Dynamic Stochastic Variational Inequalities and Convergence of Discrete Approximation, Quasi-variational problems with non-self map on Banach spaces: existence and applications, Quantitative stability of two-stage stochastic linear variational inequality problems with fixed recourse, Quantitative analysis for a class of two-stage stochastic linear variational inequality problems, Quadratic two-stage stochastic optimization with coherent measures of risk, Two-stage stochastic variational inequalities: an ERM-solution procedure, Individual confidence intervals for solutions to expected value formulations of stochastic variational inequalities, Stochastic second-order-cone complementarity problems: expected residual minimization formulation and its applications, Two-stage non-cooperative games with risk-averse players, Quantitative stability analysis of stochastic quasi-variational inequality problems and applications, Distributionally robust stochastic variational inequalities, Solving Lagrangian variational inequalities with applications to stochastic programming, Minimizing buffered probability of exceedance by progressive hedging, A new interpretation of the progressive hedging algorithm for multistage stochastic minimization problems, A prediction-correction ADMM for multistage stochastic variational inequalities, Confidence regions of two‐stage stochastic linear complementarity problems, A class of two-stage distributionally robust games, On the study of multistage stochastic vector quasi-variational problems, Solving Two-Stage Stochastic Variational Inequalities by a Hybrid Projection Semismooth Newton Algorithm, A two-stage stochastic variational inequality model for storage and dynamic distribution of medical supplies in epidemic management, A randomized progressive hedging algorithm for stochastic variational inequality, Multi-dimensional path-dependent forward-backward stochastic variational inequalities, Massively parallelizable proximal algorithms for large‐scale stochastic optimal control problems, Continuous Selections of Solutions to Parametric Variational Inequalities, Complexity guarantees for an implicit smoothing-enabled method for stochastic MPECs, Monotonicity and complexity of multistage stochastic variational inequalities, Two-stage distributionally robust noncooperative games: existence of Nash equilibrium and its application to Cournot-Nash competition, Convergence Analysis of Sample Average Approximation of Two-Stage Stochastic Generalized Equations, Stochastic variational formulation for a general random time-dependent economic equilibrium problem, Generalized conditioning based approaches to computing confidence intervals for solutions to stochastic variational inequalities, Solving monotone stochastic variational inequalities and complementarity problems by progressive hedging, Stochastic \(R_0\) matrix linear complementarity problems: the Fischer-Burmeister function-based expected residual minimization, Robust weighted expected residual minimization formulation for stochastic vector variational inequalities, Expected residual minimization method for monotone stochastic tensor complementarity problem, An infeasible stochastic approximation and projection algorithm for stochastic variational inequalities, Progressive decoupling of linkages in optimization and variational inequalities with elicitable convexity or monotonicity, A stochastic variational approach to study economic equilibrium problems under uncertainty, Two-stage stochastic variational inequalities: theory, algorithms and applications, Preface, Variance-based single-call proximal extragradient algorithms for stochastic mixed variational inequalities, Regularized sample average approximation approach for two-stage stochastic variational inequalities, A novel Euler's elastica-based segmentation approach for noisy images using the progressive hedging algorithm, Stochastic structured tensors to stochastic complementarity problems, Convergence analysis of sample average approximation for a class of stochastic nonlinear complementarity problems: from two-stage to multistage, Two-Stage Quadratic Games under Uncertainty and Their Solution by Progressive Hedging Algorithms, Discrete approximation of two-stage stochastic and distributionally robust linear complementarity problems, The elicited progressive decoupling algorithm: a note on the rate of convergence and a preliminary numerical experiment on the choice of parameters, A two-stage variational inequality for medical supply in emergency management, Optimal emergency evacuation with uncertainty, Stochastic relaxed inertial forward-backward-forward splitting for monotone inclusions in Hilbert spaces, Statistical robustness of two-stage stochastic variational inequalities, Stochastic Approximation Methods for the Two-Stage Stochastic Linear Complementarity Problem, A random time-dependent noncooperative equilibrium problem

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Convergence of inexact Newton methods for generalized equations
• Robust solution of monotone stochastic linear complementarity problems
• The \(SC^1\) 1property of an expected residual function arising from stochastic complementarity problems
• Expected residual minimization method for stochastic variational inequality problems
• Sample-path solution of stochastic variational inequalities
• Stochastic Variational Inequalities: Residual Minimization Smoothing Sample Average Approximations
• Scenarios and Policy Aggregation in Optimization Under Uncertainty
• Stochastic $R_0$ Matrix Linear Complementarity Problems
• SAMPLE AVERAGE APPROXIMATION METHODS FOR A CLASS OF STOCHASTIC VARIATIONAL INEQUALITY PROBLEMS
• Smoothing Projected Gradient Method and Its Application to Stochastic Linear Complementarity Problems
• Monotone Operators and the Proximal Point Algorithm
• The Optimal Recourse Problem in Discrete Time: $L^1 $-Multipliers for Inequality Constraints
• Generalized equations and their solutions, Part I: Basic theory
• Engineering and Economic Applications of Complementarity Problems
• Finite-Dimensional Variational Inequalities and Complementarity Problems
• Stochastic Approximation Approaches to the Stochastic Variational Inequality Problem
• Incremental Constraint Projection Methods for Monotone Stochastic Variational Inequalities
• Expected Residual Minimization Method for Stochastic Linear Complementarity Problems
• Variational Inequalities and Economic Equilibrium
• Implicit Functions and Solution Mappings
• Convex Analysis