Solving Lagrangian variational inequalities with applications to stochastic programming
DOI10.1007/S10107-019-01458-0zbMATH Open1445.90069OpenAlexW2999945162WikidataQ126386507 ScholiaQ126386507MaRDI QIDQ2189448FDOQ2189448
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
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Lagrange multipliersproximal point algorithmprogressive hedging algorithmcomposite optimizationstochastic variational inequality problemsstochastic programming problemsLagrangian variational inequalities
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)
Cites Work
- Variational Analysis
- Convex Analysis
- The multiplier method of Hestenes and Powell applied to convex programming
- Monotone Operators and the Proximal Point Algorithm
- Augmented Lagrangians and Applications of the Proximal Point Algorithm in Convex Programming
- Variational inequalities
- Generalized equations and their solutions, Part I: Basic theory
- Scenarios and Policy Aggregation in Optimization Under Uncertainty
- Partial inverse of a monotone operator
- Title not available (Why is that?)
- Stochastic variational inequalities: single-stage to multistage
- On Penalty and Multiplier Methods for Constrained Minimization
- Solving monotone stochastic variational inequalities and complementarity problems by progressive hedging
Cited In (21)
- Two-stage stochastic variational inequalities for Cournot-Nash equilibrium with risk-averse players under uncertainty
- A two-stage stochastic variational inequality model for storage and dynamic distribution of medical supplies in epidemic management
- A new low-cost feasible projection algorithm for pseudomonotone variational inequalities
- A Model of Multistage Risk-Averse Stochastic Optimization and its Solution by Scenario-Based Decomposition Algorithms
- Stochastic \(R_0\) matrix linear complementarity problems: the Fischer-Burmeister function-based expected residual minimization
- Optimal emergency evacuation with uncertainty
- A stochastic Nash equilibrium problem for medical supply competition
- Two-stage stochastic variational inequalities: theory, algorithms and applications
- A prediction-correction ADMM for multistage stochastic variational inequalities
- Quasi-variational problems with non-self map on Banach spaces: existence and applications
- On the study of multistage stochastic vector quasi-variational problems
- Risk-averse optimal control model under uncertainty and its modified progressive hedging algorithm
- Two-stage stochastic variational inequality arising from stochastic programming
- The elicited progressive decoupling algorithm: a note on the rate of convergence and a preliminary numerical experiment on the choice of parameters
- A two-stage variational inequality for medical supply in emergency management
- Two inertial proximal coordinate algorithms for a family of nonsmooth and nonconvex optimization problems
- Variance-based stochastic projection gradient method for two-stage co-coercive stochastic variational inequalities
- Robust solutions to box-constrained stochastic linear variational inequality problem
- Minimizing buffered probability of exceedance by progressive hedging
- Special issue: On the interface between optimization and probability
- Solving monotone stochastic variational inequalities and complementarity problems by progressive hedging
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