CVaR-based formulation and approximation method for stochastic variational inequalities
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Publication:550504
DOI10.3934/naco.2011.1.35zbMath1246.90149OpenAlexW2327456105MaRDI QIDQ550504
Publication date: 11 July 2011
Published in: Numerical Algebra, Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/naco.2011.1.35
convergencestochastic variational inequalitiesconditional value at risksmoothing approximationD-gap functionMonte Carlo sampling approximation
Stochastic programming (90C15) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)
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