Robust solution of monotone stochastic linear complementarity problems
From MaRDI portal
Publication:959962
DOI10.1007/s10107-007-0163-zzbMath1165.90012OpenAlexW1979460428MaRDI QIDQ959962
Masao Fukushima, Chao Zhang, Xiaojun Chen
Publication date: 16 December 2008
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10107-007-0163-z
Stochastic programming (90C15) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)
Related Items
Polymorphic uncertain nonlinear programming model and algorithm for maximizing the fatigue life of V-belt drive, Γ-robust linear complementarity problems, An approximation scheme for a class of risk-averse stochastic equilibrium problems, Smoothing projected Barzilai-Borwein method for constrained non-Lipschitz optimization, Properties of expected residual minimization model for a class of stochastic complementarity problems, Convergence results of a matrix splitting algorithm for solving weakly nonlinear complementarity problems, Regularization of stochastic variational inequalities and a comparison of an \(L_p\) and a sample-path approach, Affinely Adjustable Robust Linear Complementarity Problems, SAMPLE AVERAGE APPROXIMATION METHOD FOR SOLVING A DETERMINISTIC FORMULATION FOR BOX CONSTRAINED STOCHASTIC VARIATIONAL INEQUALITY PROBLEMS, On stochastic variational inequalities with mean value constraints, The deterministic ERM and CVaR reformulation for the stochastic generalized complementarity problem, Smoothing nonmonotone Barzilai-Borwein gradient method and its application to stochastic linear complementarity problems, A new gap function for vector variational inequalities with an application, A modulus-based nonmonotone line search method for nonlinear complementarity problems, Expected residual minimization method for stochastic variational inequality problems with nonlinear perturbations, A performance measure analysis for traffic networks with random data and general monotone cost functions, Two-stage stochastic variational inequalities: an ERM-solution procedure, Individual confidence intervals for solutions to expected value formulations of stochastic variational inequalities, Stochastic second-order-cone complementarity problems: expected residual minimization formulation and its applications, Stochastic variational inequalities: single-stage to multistage, Stochastic \(R_0\) tensors to stochastic tensor complementarity problems, Expected residual minimization formulation for a class of stochastic linear second-order cone complementarity problems, A variational inequality model of the spatial price network problem with uncertain data, Expected residual minimization formulation for a class of stochastic vector variational inequalities, A smoothing Levenberg-Marquardt algorithm for solving a class of stochastic linear complementarity problem, Deterministic bicriteria model for stochastic variational inequalities, Γ‐robust linear complementarity problems with ellipsoidal uncertainty sets, A smoothing Newton method based on the modulus equation for a class of weakly nonlinear complementarity problems, Existence of optimal solutions for general stochastic linear complementarity problems, Recourse-based stochastic nonlinear programming: properties and Benders-SQP algorithms, On set-valued complementarity problems, Expected residual minimization method for a class of stochastic quasivariational inequality problems, Stochastic absolute value equations, A sample average approximation method based on a D-gap function for stochastic variational inequality problems, CVaR-constrained stochastic programming reformulation for stochastic nonlinear complementarity problems, Partial projected Newton method for a class of stochastic linear complementarity problems, A kind of stochastic eigenvalue complementarity problems, Interval solution for nonlinear programming of maximizing the fatigue life of V-belt under polymorphic uncertain environment, A smoothing Newton method for solving a class of stochastic linear complementarity problems, Regularizations for stochastic linear variational inequalities, A Barzilai-Borwein type method for stochastic linear complementarity problems, On the ERM formulation and a stochastic approximation algorithm of the stochastic-\(R_0\) EVLCP, Nonsmooth Levenberg-Marquardt type method for solving a class of stochastic linear complementarity problems with finitely many elements, Generalized conditioning based approaches to computing confidence intervals for solutions to stochastic variational inequalities, Solving monotone stochastic variational inequalities and complementarity problems by progressive hedging, Stochastic nonlinear complementarity problem and applications to traffic equilibrium under uncertainty, A note on stability for risk-averse stochastic complementarity problems, Stochastic \(R_0\) matrix linear complementarity problems: the Fischer-Burmeister function-based expected residual minimization, Polymorphic uncertain nonlinear programming approach for maximizing the capacity of V-belt driving, Stochastic nonlinear complementarity problems: stochastic programming reformulation and penalty-based approximation method, Minimum mean-squared deviation method for stochastic complementarity problems, Smoothing projected cyclic Barzilai–Borwein method for stochastic linear complementarity problems, Feasible smooth method based on Barzilai-Borwein method for stochastic linear complementarity problem, Robust weighted expected residual minimization formulation for stochastic vector variational inequalities, Solving equations via the trust region and its application to a class of stochastic linear complementarity problems, New reformulation and feasible semismooth Newton method for a class of stochastic linear complementarity problems, Smoothing methods for nonsmooth, nonconvex minimization, Expected residual minimization method for monotone stochastic tensor complementarity problem, Combined Monte Carlo sampling and penalty method for Stochastic nonlinear complementarity problems, Barzilai–Borwein method with variable sample size for stochastic linear complementarity problems, Nonconvex robust programming via value-function optimization, Efficiency and vulnerability analysis for congested networks with random data, Two-stage stochastic variational inequalities: theory, algorithms and applications, Neural network smoothing approximation method for stochastic variational inequality problems, Smoothing and sample average approximation methods for solving stochastic generalized Nash equilibrium problems, The \(SC^1\) 1property of an expected residual function arising from stochastic complementarity problems, Regularized sample average approximation approach for two-stage stochastic variational inequalities, Feasible semismooth Newton method for a class of stochastic linear complementarity problems, Expected residual minimization method for stochastic variational inequality problems, On Robust Solutions to Uncertain Linear Complementarity Problems and their Variants, A new complementarity function and applications in stochastic second-order cone complementarity problems, Pricing American options with uncertain volatility through stochastic linear complementarity models, Convergence results of the ERM method for nonlinear stochastic variational inequality problems, Two-stage stochastic variational inequality arising from stochastic programming, Unconstrained optimization reformulation for stochastic nonlinear complementarity problems, Variational inequality approach to stochastic Nash equilibrium problems with an application to Cournot oligopoly, The distributionally robust complementarity problem, An inexact restoration-nonsmooth algorithm with variable accuracy for stochastic nonsmooth convex optimization problems in machine learning and stochastic linear complementarity problems, Stochastic tensor complementarity problem with discrete distribution
Cites Work
- Unnamed Item
- Unnamed Item
- On NCP-functions
- New improved error bounds for the linear complementarity problem
- New NCP-functions and their properties
- Sample-path solution of stochastic variational inequalities
- A penalized Fischer-Burmeister NCP-function
- Growth behavior of a class of merit functions for the nonlinear complementarity problem
- The Sample Average Approximation Method for Stochastic Discrete Optimization
- Stochastic $R_0$ Matrix Linear Complementarity Problems
- Introduction to Stochastic Programming
- Engineering and Economic Applications of Complementarity Problems
- Finite-Dimensional Variational Inequalities and Complementarity Problems
- Stochastic Optimization Methods
- Expected Residual Minimization Method for Stochastic Linear Complementarity Problems
- New reformulations for stochastic nonlinear complementarity problems