CVaR-constrained stochastic programming reformulation for stochastic nonlinear complementarity problems
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Cites work
- scientific article; zbMATH DE number 4070125 (Why is no real title available?)
- CVaR-based formulation and approximation method for stochastic variational inequalities
- Coherent measures of risk
- Combined Monte Carlo sampling and penalty method for stochastic nonlinear complementarity problems
- Convex Approximations of Chance Constrained Programs
- Engineering and Economic Applications of Complementarity Problems
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- Feasible semismooth Newton method for a class of stochastic linear complementarity problems
- Finite-Dimensional Variational Inequalities and Complementarity Problems
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- Lectures on Stochastic Programming
- New reformulations for stochastic nonlinear complementarity problems
- New restricted NCP functions and their applications to stochastic NCP and stochastic MPEC
- Pricing American options with uncertain volatility through stochastic linear complementarity models
- Properties of restricted NCP functions for nonlinear complementarity problems
- Robust solution of monotone stochastic linear complementarity problems
- Robust solutions to uncertain linear complementarity problems
- Sample-path solution of stochastic variational inequalities
- Smooth Approximations to Nonlinear Complementarity Problems
- Solution properties and error bounds for semi-infinite complementarity problems
- Stochastic $R_0$ Matrix Linear Complementarity Problems
- Stochastic equilibrium problems and stochastic mathematical programs with equilibrium constraints: a survey
- Stochastic nonlinear complementarity problem and applications to traffic equilibrium under uncertainty
- Stochastic nonlinear complementarity problems: stochastic programming reformulation and penalty-based approximation method
- Stochastic variational inequalities: residual minimization smoothing sample average approximations
- The \(SC^1\) 1property of an expected residual function arising from stochastic complementarity problems
Cited in
(10)- Nonlinear stochastic programming involving \textit{CVaR} in the objective and constraints
- The distributionally robust complementarity problem
- Stochastic nonlinear complementarity problems: stochastic programming reformulation and penalty-based approximation method
- The deterministic ERM and CVaR reformulation for the stochastic generalized complementarity problem
- Convergence analysis of the approximation problems for solving stochastic vector variational inequality problems
- CVaR model of stochastic complementarity problems and its solving methods
- Unconstrained optimization reformulation for stochastic nonlinear complementarity problems
- A note on stability for risk-averse stochastic complementarity problems
- A smoothing projected HS method for solving stochastic tensor complementarity problem
- CVaR stochastic programming model for monotone stochastic tensor complementarity problem by using its penalized sample average approximation algorithm
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