Dynamic stochastic projection method for multistage stochastic variational inequalities

DOI10.1007/s10589-024-00594-4MaRDI QIDQ6624436

Hailin Sun, Jie Jiang, Bin Zhou

Publication date: 25 October 2024

Published in: Computational Optimization and Applications (Search for Journal in Brave)

zbMATH Keywords

convergence ratestochastic approximation methoddynamic stochastic projection methodinexact stochastic projection methodmultistage stochastic variational inequalities

Mathematics Subject Classification ID

Mathematical programming (90Cxx)

Cites Work

• Strongly regular nonsmooth generalized equations
• Accelerated schemes for a class of variational inequalities
• Two-stage non-cooperative games with risk-averse players
• Stochastic variational inequalities: single-stage to multistage
• On smoothing, regularization, and averaging in stochastic approximation methods for stochastic variational inequality problems
• Solving monotone stochastic variational inequalities and complementarity problems by progressive hedging
• Dynamic stochastic approximation for multi-stage stochastic optimization
• Two-stage stochastic variational inequalities: theory, algorithms and applications
• On the analysis of variance-reduced and randomized projection variants of single projection schemes for monotone stochastic variational inequality problems
• Regularized sample average approximation approach for two-stage stochastic variational inequalities
• Convergence analysis of sample average approximation for a class of stochastic nonlinear complementarity problems: from two-stage to multistage
• Quantitative analysis for a class of two-stage stochastic linear variational inequality problems
• Optimal stochastic extragradient schemes for pseudomonotone stochastic variational inequality problems and their variants
• Discrete approximation of two-stage stochastic and distributionally robust linear complementarity problems
• Variational and quasi-variational inequalities in mechanics
• On complexity of multistage stochastic programs under heavy tailed distributions
• On the computation of equilibria in monotone and potential stochastic hierarchical games
• Monotonicity and complexity of multistage stochastic variational inequalities
• First-Order Methods in Optimization
• Convergence Analysis of Sample Average Approximation of Two-Stage Stochastic Generalized Equations
• Stochastic Approximation Approaches to the Stochastic Variational Inequality Problem
• Personalized goal-based investing via multi-stage stochastic goal programming
• New First-Order Algorithms for Stochastic Variational Inequalities
• Dynamic Risked Equilibrium
• Simple and Optimal Methods for Stochastic Variational Inequalities, I: Operator Extrapolation
• Regularized Two-Stage Stochastic Variational Inequalities for Cournot-Nash Equilibrium Under Uncertainty
• Lectures on Stochastic Programming: Modeling and Theory, Third Edition
• Solving variational inequalities with Stochastic Mirror-Prox algorithm
• Two-Stage Quadratic Games under Uncertainty and Their Solution by Progressive Hedging Algorithms
• Projected Reflected Gradient Methods for Monotone Variational Inequalities
• Regularized Iterative Stochastic Approximation Methods for Stochastic Variational Inequality Problems
• Extragradient Method with Variance Reduction for Stochastic Variational Inequalities
• A Stochastic Approximation Method
• Stochastic Approximation Methods for the Two-Stage Stochastic Linear Complementarity Problem
• Convex analysis and monotone operator theory in Hilbert spaces
• A two-stage stochastic variational inequality model for storage and dynamic distribution of medical supplies in epidemic management

This page was built for publication: Dynamic stochastic projection method for multistage stochastic variational inequalities