CVaR-constrained stochastic programming reformulation for stochastic nonlinear complementarity problems
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Publication:457217
DOI10.1007/s10589-013-9625-9zbMath1331.90046MaRDI QIDQ457217
Publication date: 26 September 2014
Published in: Computational Optimization and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10589-013-9625-9
conditional value-at-risk; sample average approximation; penalized smoothing method; stochastic complementarity problems
90C15: Stochastic programming
90C33: Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming)
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The distributionally robust complementarity problem, A smoothing projected HS method for solving stochastic tensor complementarity problem, Convergence analysis of the approximation problems for solving stochastic vector variational inequality problems, The deterministic ERM and CVaR reformulation for the stochastic generalized complementarity problem
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