Expected Residual Minimization Method for Stochastic Linear Complementarity Problems
From MaRDI portal
Publication:5387961
DOI10.1287/moor.1050.0160zbMath1162.90527OpenAlexW2147977073MaRDI QIDQ5387961
Publication date: 27 May 2008
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/moor.1050.0160
Stochastic programming (90C15) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)
Related Items
Smoothing sample average approximation method for solving stochastic second-order-cone complementarity problems, 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, 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, A SAA nonlinear regularization method for a stochastic extended vertical linear complementarity problem, 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, Quantitative stability of two-stage stochastic linear variational inequality problems with fixed recourse, Expected residual minimization method for stochastic variational inequality problems with nonlinear perturbations, Confidence regions of stochastic variational inequalities: error bound approach, Robust solutions to box-constrained stochastic linear variational inequality problem, 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, Two-stage non-cooperative games with risk-averse players, On the existence of solutions to stochastic quasi-variational inequality and complementarity problems, Stochastic variational inequalities: single-stage to multistage, Quantitative stability analysis of stochastic quasi-variational inequality problems and applications, Stochastic \(R_0\) tensors to stochastic tensor complementarity problems, Expected residual minimization formulation for a class of stochastic linear second-order cone complementarity problems, Some equilibrium problems under uncertainty and random variational inequalities, Convergence analysis of weighted expected residual method for nonlinear stochastic variational inequality 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, The subdifferential of measurable composite max integrands and smoothing approximation, Risk minimization, regret minimization and progressive hedging algorithms, A smoothing Levenberg-Marquardt algorithm for solving a class of stochastic linear complementarity problem, Deterministic bicriteria model for stochastic variational inequalities, Existence of optimal solutions for general stochastic linear complementarity problems, Robust solutions to uncertain linear complementarity problems, Recourse-based stochastic nonlinear programming: properties and Benders-SQP algorithms, On set-valued complementarity problems, Monotonicity and complexity of multistage stochastic variational inequalities, 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, The distributionally robust optimization reformulation for stochastic complementarity problems, Convergence analysis of the approximation problems for solving stochastic vector variational inequality problems, 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, Infeasible interior-point algorithms based on sampling average approximations for a class of stochastic complementarity problems and their applications, Nonsmooth Levenberg-Marquardt type method for solving a class of stochastic linear complementarity problems with finitely many elements, Method of weighted expected residual for solving stochastic variational inequality problems, 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, SAMPLE AVERAGE APPROXIMATION METHODS FOR A CLASS OF STOCHASTIC VARIATIONAL INEQUALITY PROBLEMS, 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, Sensitivity and covariance in stochastic complementarity problems with an application to north American natural gas markets, Robust solution of monotone stochastic linear complementarity problems, 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, Expected residual minimization method for uncertain variational inequality problems, New restricted NCP functions and their applications to stochastic NCP and stochastic MPEC, 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, An infeasible stochastic approximation and projection algorithm for stochastic variational inequalities, Barzilai–Borwein method with variable sample size for stochastic linear complementarity problems, Nonconvex robust programming via value-function optimization, 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, Variance-based single-call proximal extragradient algorithms for stochastic mixed variational inequalities, Regularized sample average approximation approach for two-stage stochastic variational inequalities, Feasible semismooth Newton method for a class of stochastic linear complementarity problems, Stochastic structured tensors to stochastic complementarity problems, Expected residual minimization method for stochastic variational inequality problems, New reformulations for stochastic nonlinear complementarity problems, On Robust Solutions to Uncertain Linear Complementarity Problems and their Variants, Convergence analysis of sample average approximation for a class of stochastic nonlinear complementarity problems: from two-stage to multistage, A new complementarity function and applications in stochastic second-order cone complementarity problems, Pricing American options with uncertain volatility through stochastic linear complementarity models, Discrete approximation of two-stage stochastic and distributionally robust linear complementarity problems, Convergence results of the ERM method for nonlinear stochastic variational inequality problems, Two-stage stochastic variational inequality arising from stochastic programming, Quantitative stability of the ERM formulation for a class of stochastic linear variational inequalities, Unconstrained optimization reformulation for stochastic nonlinear complementarity problems, A smooth penalty-based sample average approximation method for stochastic complementarity problems, Variational inequality approach to stochastic Nash equilibrium problems with an application to Cournot oligopoly, The distributionally robust complementarity problem, Stochastic tensor complementarity problem with discrete distribution, Distributionally robust stochastic variational inequalities, A smoothing projected HS method for solving stochastic tensor complementarity problem, A prediction-correction ADMM for multistage stochastic variational inequalities, Confidence regions of two‐stage stochastic linear complementarity problems, Γ‐robust linear complementarity problems with ellipsoidal uncertainty sets, An approximation method for variational inequality with uncertain variables, Distributionally robust expected residual minimization for stochastic variational inequality problems, On the unconstrained optimization reformulations for a class of stochastic vector variational inequality problems, Codifferentials and Quasidifferentials of the Expectation of Nonsmooth Random Integrands and Two-Stage Stochastic Programming, Stochastic Approximation Methods for the Two-Stage Stochastic Linear Complementarity Problem