CVaR-based formulation and approximation method for a class of stochastic variational inequality problems

DOI10.7153/MIA-16-77zbMath1302.90228OpenAlexW2332458555MaRDI QIDQ5406143

Hui-qiang Ma, Nan-Jing Huang

Publication date: 1 April 2014

Published in: Mathematical Inequalities & Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.7153/mia-16-77

zbMATH Keywords

convergenceregularized gap functionconditional value-at-riskstochastic variational inequalityMonte Carlo sampling approximationmigration equilibrium problem

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Variational inequalities (49J40) Stochastic programming (90C15) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)

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