Solving Lagrangian variational inequalities with applications to stochastic programming

DOI10.1007/s10107-019-01458-0zbMath1445.90069OpenAlexW2999945162WikidataQ126386507 ScholiaQ126386507MaRDI QIDQ2189448

Jie Sun, R. Tyrrell Rockafellar

Publication date: 15 June 2020

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10107-019-01458-0

zbMATH Keywords

Lagrange multipliersproximal point algorithmprogressive hedging algorithmcomposite optimizationstochastic variational inequality problemsstochastic programming problemsLagrangian variational inequalities

Mathematics Subject Classification ID

Optimality conditions and duality in mathematical programming (90C46) Stochastic programming (90C15) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)

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Cites Work

• Partial inverse of a monotone operator
• Stochastic variational inequalities: single-stage to multistage
• Solving monotone stochastic variational inequalities and complementarity problems by progressive hedging
• The multiplier method of Hestenes and Powell applied to convex programming
• Scenarios and Policy Aggregation in Optimization Under Uncertainty
• On Penalty and Multiplier Methods for Constrained Minimization
• Monotone Operators and the Proximal Point Algorithm
• Augmented Lagrangians and Applications of the Proximal Point Algorithm in Convex Programming
• Generalized equations and their solutions, Part I: Basic theory
• Variational Analysis
• Variational inequalities
• Convex Analysis
• Unnamed Item

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