SAA method based on modified Newton method for stochastic variational inequality with second-order cone constraints and application in portfolio optimization
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Cites work
- scientific article; zbMATH DE number 46303 (Why is no real title available?)
- scientific article; zbMATH DE number 2107836 (Why is no real title available?)
- A globally convergent method based on Fischer-Burmeister operators for solving second-order cone constrained variational inequality problems
- A penalized Fischer-Burmeister NCP-function
- A semismooth Newton method for SOCCPs based on a one-parametric class of SOC complementarity functions
- Complementarity functions and numerical experiments on some smoothing Newton methods for second-order-cone complementarity problems
- Finite-Dimensional Variational Inequalities and Complementarity Problems
- Lectures on stochastic programming. Modeling and theory.
- Monte Carlo bounding techniques for determinig solution quality in stochastic programs
- On complexity of stochastic programming problems
- On the convergence of coderivative of SAA solution mapping for a parametric stochastic variational inequality
- Quantitative stability analysis of stochastic generalized equations
- Sample average approximation methods for a class of stochastic variational inequality problems
- Sample-path solution of stochastic variational inequalities
- Smoothing functions for second-order-cone complementarity problems
- Stochastic Approximation Approaches to the Stochastic Variational Inequality Problem
- Stochastic equilibrium problems and stochastic mathematical programs with equilibrium constraints: a survey
- Stochastic methods based on Newton method to the stochastic variational inequality problem with constraint conditions
- Stochastic second-order cone programming in mobile ad hoc networks
- The empirical behavior of sampling methods for stochastic programming
- The sample average approximation method for stochastic discrete optimization
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