Solving monotone stochastic variational inequalities and complementarity problems by progressive hedging

DOI10.1007/s10107-018-1251-yzbMath1421.90100OpenAlexW2793390883MaRDI QIDQ1739045

R. Tyrrell Rockafellar, Jie Sun

Publication date: 24 April 2019

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

Full work available at URL: http://hdl.handle.net/20.500.11937/68777

zbMATH Keywords

proximal point algorithmproblem decompositionmaximal monotone mappingsprogressive hedging algorithmstochastic complementarity problemsstochastic variational inequality problemsstochastic programming problems

Mathematics Subject Classification ID

Stochastic programming (90C15) Monotone operators and generalizations (47H05) Existence theories for optimal control problems involving partial differential equations (49J20)

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