CVaR-constrained stochastic programming reformulation for stochastic nonlinear complementarity problems

DOI10.1007/S10589-013-9625-9zbMATH Open1331.90046OpenAlexW2068506505MaRDI QIDQ457217FDOQ457217

Authors: Bo Yu, Li-yan Xu 

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

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zbMATH Keywords

conditional value-at-risksample average approximationpenalized smoothing methodstochastic complementarity problems

Mathematics Subject Classification ID

Stochastic programming (90C15) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)

Cites Work

• Coherent measures of risk
• Finite-Dimensional Variational Inequalities and Complementarity Problems
• Lectures on Stochastic Programming
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• Convex Approximations of Chance Constrained Programs
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• Stochastic variational inequalities: residual minimization smoothing sample average approximations
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• Expected Residual Minimization Method for Stochastic Linear Complementarity Problems
• New restricted NCP functions and their applications to stochastic NCP and stochastic MPEC
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• Stochastic nonlinear complementarity problem and applications to traffic equilibrium under uncertainty
• Robust solution of monotone stochastic linear complementarity problems
• Title not available (Why is that?)
• Combined Monte Carlo sampling and penalty method for stochastic nonlinear complementarity problems
• CVaR-based formulation and approximation method for stochastic variational inequalities
• Smooth Approximations to Nonlinear Complementarity Problems
• Robust solutions to uncertain linear complementarity problems
• Properties of restricted NCP functions for nonlinear complementarity problems
• Solution properties and error bounds for semi-infinite complementarity problems
• Pricing American options with uncertain volatility through stochastic linear complementarity models
• Stochastic nonlinear complementarity problems: stochastic programming reformulation and penalty-based approximation method

Cited In (10)

• CVaR model of stochastic complementarity problems and its solving methods
• Convergence analysis of the approximation problems for solving stochastic vector variational inequality problems
• A smoothing projected HS method for solving stochastic tensor complementarity problem
• The distributionally robust complementarity problem
• The deterministic ERM and CVaR reformulation for the stochastic generalized complementarity problem
• Stochastic nonlinear complementarity problems: stochastic programming reformulation and penalty-based approximation method
• Unconstrained optimization reformulation for stochastic nonlinear complementarity problems
• CVaR stochastic programming model for monotone stochastic tensor complementarity problem by using its penalized sample average approximation algorithm
• Nonlinear stochastic programming involving \textit{CVaR} in the objective and constraints
• A note on stability for risk-averse stochastic complementarity problems

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