A note on stability for risk-averse stochastic complementarity problems
DOI10.1007/s10957-016-1020-0zbMath1390.90403OpenAlexW2528425526MaRDI QIDQ511981
Matthias Claus, Johanna Burtscheidt
Publication date: 23 February 2017
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10957-016-1020-0
stabilityrisk aversionexpected residual minimizationnonlinear complementarity functionstochastic complementarity problem
Sensitivity, stability, parametric optimization (90C31) Stochastic programming (90C15) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Properties and construction of NCP functions
- Pricing American options with uncertain volatility through stochastic linear complementarity models
- Robust solution of monotone stochastic linear complementarity problems
- A note on the measurability of convex sets
- Domains of weak continuity of statistical functionals with a view toward robust statistics
- Properties of expected residual minimization model for a class of stochastic complementarity problems
- Coherent Measures of Risk
- Weak Continuity of Risk Functionals with Applications to Stochastic Programming
- The Linear Complementarity Problem
- Stochastic $R_0$ Matrix Linear Complementarity Problems
- Equivalence of the Complementarity Problem to a System of Nonlinear Equations
- Smooth Approximations to Nonlinear Complementarity Problems
- Engineering and Economic Applications of Complementarity Problems
- Semismooth Newton Methods for Operator Equations in Function Spaces
- Finite-Dimensional Variational Inequalities and Complementarity Problems
- Expected Residual Minimization Method for Stochastic Linear Complementarity Problems
- Stochastic finance. An introduction in discrete time
- Some aspects of stability in stochastic programming
This page was built for publication: A note on stability for risk-averse stochastic complementarity problems
