Stochastic Variational Inequalities: Residual Minimization Smoothing Sample Average Approximations
From MaRDI portal
Publication:2910889
DOI10.1137/110825248zbMath1263.90098OpenAlexW2010659474WikidataQ105584130 ScholiaQ105584130MaRDI QIDQ2910889
Yanfang Zhang, Roger J.-B. Wets, Xiaojun Chen
Publication date: 12 September 2012
Published in: SIAM Journal on Optimization (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10397/5953
convergenceresidual functionstochastic variational inequalitiestraffic equilibriumsmoothing sample average approximation
Stochastic programming (90C15) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)
Related Items
Stochastic Variational Inequality Approaches to the Stochastic Generalized Nash Equilibrium with Shared Constraints, Γ-robust linear complementarity problems, Stochastic forward-backward splitting for monotone inclusions, An approximation scheme for a class of risk-averse stochastic equilibrium problems, Affinely Adjustable Robust Linear Complementarity Problems, Stochastic approximation results for variational inequality problem using random-type iterative schemes, The deterministic ERM and CVaR reformulation for the stochastic generalized complementarity problem, Robust solutions to box-constrained stochastic linear variational inequality problem, Two fast variance-reduced proximal gradient algorithms for SMVIPs -- stochastic mixed variational inequality problems with suitable applications to stochastic network games and traffic assignment problems, Two-stage stochastic variational inequalities: an ERM-solution procedure, Accelerated schemes for a class of variational inequalities, Individual confidence intervals for solutions to expected value formulations of stochastic variational inequalities, 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, Completely positive factorization by a Riemannian smoothing method, Distributionally robust stochastic variational inequalities, 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, An Optimal Control Problem with Terminal Stochastic Linear Complementarity Constraints, A prediction-correction ADMM for multistage stochastic variational inequalities, Deterministic bicriteria model for stochastic variational inequalities, Γ‐robust linear complementarity problems with ellipsoidal uncertainty sets, Convergence results for stochastic convex feasibility problem using random Mann and simultaneous projection iterative algorithms in Hilbert space, A primal-dual partial inverse algorithm for constrained monotone inclusions: applications to stochastic programming and mean field games, Distributionally robust expected residual minimization for stochastic variational inequality problems, Solving Two-Stage Stochastic Variational Inequalities by a Hybrid Projection Semismooth Newton Algorithm, Variable sample-size operator extrapolation algorithm for stochastic mixed variational inequalities, Sensitivity analysis of stochastic constraint and variational systems via generalized differentiation, Distributionally robust Weber problem with uncertain demand, On the computation of equilibria in monotone and potential stochastic hierarchical games, Monotonicity and complexity of multistage stochastic variational inequalities, A sample average approximation method based on a D-gap function for stochastic variational inequality problems, On stochastic mirror-prox algorithms for stochastic Cartesian variational inequalities: randomized block coordinate and optimal averaging schemes, CVaR-constrained stochastic programming reformulation for stochastic nonlinear complementarity problems, Convergence Analysis of Sample Average Approximation of Two-Stage Stochastic Generalized Equations, An implementable SAA nonlinear Lagrange algorithm for constrained minimax stochastic optimization problems, Codifferentials and Quasidifferentials of the Expectation of Nonsmooth Random Integrands and Two-Stage Stochastic Programming, Convergence analysis of the approximation problems for solving stochastic vector variational inequality problems, Regularizations for stochastic linear variational inequalities, On the ERM formulation and a stochastic approximation algorithm of the stochastic-\(R_0\) EVLCP, Generalized conditioning based approaches to computing confidence intervals for solutions to stochastic variational inequalities, Stochastic \(R_0\) matrix linear complementarity problems: the Fischer-Burmeister function-based expected residual minimization, Extragradient Method with Variance Reduction for Stochastic Variational Inequalities, Robust weighted expected residual minimization formulation for stochastic vector variational inequalities, Smoothing methods for nonsmooth, nonconvex minimization, Two-stage stochastic variational inequalities: theory, algorithms and applications, On the analysis of variance-reduced and randomized projection variants of single projection schemes for monotone stochastic variational inequality problems, Regularized sample average approximation approach for two-stage stochastic variational inequalities, Modified Jacobian smoothing method for nonsmooth complementarity problems, Incremental Constraint Projection Methods for Monotone Stochastic Variational Inequalities, 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, Two-Stage Quadratic Games under Uncertainty and Their Solution by Progressive Hedging Algorithms, Discrete approximation of two-stage stochastic and distributionally robust linear complementarity problems, Random activations in primal-dual splittings for monotone inclusions with a priori information, Quantitative Stability Analysis of Two-Stage Stochastic Linear Programs with Full Random Recourse, Quantitative stability of the ERM formulation for a class of stochastic linear variational inequalities, Quantitative Stability and Empirical Approximation of Risk-Averse Models Induced by Two-Stage Stochastic Programs with Full Random Recourse, Stochastic Approximation Methods for the Two-Stage Stochastic Linear Complementarity Problem, The distributionally robust complementarity problem
