Sample average approximation method for a class of stochastic generalized Nash equilibrium problems

DOI10.1016/j.cam.2013.11.014zbMath1278.65068MaRDI QIDQ390493

Pei-Yu Li

Publication date: 8 January 2014

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2013.11.014

zbMATH Keywords

interior point method; sample average approximation method; stochastic generalized Nash equilibrium problem

Mathematics Subject Classification ID

65H10: Numerical computation of solutions to systems of equations

90C15: Stochastic programming

91A80: Applications of game theory

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

90C51: Interior-point methods

91B76: Environmental economics (natural resource models, harvesting, pollution, etc.)

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