CVaR-constrained stochastic programming reformulation for stochastic nonlinear complementarity problems
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Publication:457217
DOI10.1007/s10589-013-9625-9zbMath1331.90046OpenAlexW2068506505MaRDI QIDQ457217
Publication date: 26 September 2014
Published in: Computational Optimization and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10589-013-9625-9
conditional value-at-risksample average approximationpenalized smoothing methodstochastic complementarity problems
Stochastic programming (90C15) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)
Related Items (4)
The deterministic ERM and CVaR reformulation for the stochastic generalized complementarity problem ⋮ A smoothing projected HS method for solving stochastic tensor complementarity problem ⋮ Convergence analysis of the approximation problems for solving stochastic vector variational inequality problems ⋮ The distributionally robust complementarity problem
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