CVaR-based formulation and approximation method for stochastic variational inequalities

DOI10.3934/NACO.2011.1.35MaRDI QIDQ550504zbMATH OpenOpenAlexFDO

Authors Guihua Lin, Xiaojun Chen

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

zbMATH Keywords

convergencestochastic variational inequalitiesconditional value at risksmoothing approximationD-gap functionMonte Carlo sampling approximation

Mathematics Subject Classification ID

Stochastic programming (90C15) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)

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• Convergence analysis of weighted expected residual method for nonlinear stochastic variational inequality problems
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• A new model for solving stochastic second-order cone complementarity problem and its convergence analysis
• The distributionally robust optimization reformulation for stochastic complementarity problems
• The distributionally robust complementarity problem
• Deterministic bicriteria model for stochastic variational inequalities
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• The deterministic ERM and CVaR reformulation for the stochastic generalized complementarity problem
• Convergence analysis of the approximation problems for solving stochastic vector variational inequality problems
• Method of weighted expected residual for solving stochastic variational inequality problems
• Stochastic optimization problems with CVaR risk measure and their sample average approximation
• Probabilistic representation and approximation for coupled systems of variational inequalities
• A smoothing sample average approximation method for stochastic optimization problems with CVaR risk measure
• CVaR stochastic programming model for monotone stochastic tensor complementarity problem by using its penalized sample average approximation algorithm
• CVaR-constrained stochastic programming reformulation for stochastic nonlinear complementarity problems
• Sample average approximation of conditional value-at-risk based variational inequalities
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