On the ERM formulation and a stochastic approximation algorithm of the stochastic-R₀ EVLCP

DOI10.1007/S10479-014-1575-9MaRDI QIDQ490183zbMATH OpenOpenAlexWikidataFDO

Authors Ming-Zheng Wang, M. Montaz Ali

Publication date 22 January 2015

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10479-014-1575-9

zbMATH Keywords

stochastic programmingexistence of solutionstochastic approximation algorithmERM reformulationstochastic \(R_0\)-property

Mathematics Subject Classification ID

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

Recommendations

• Stochastic $R_0$ Matrix Linear Complementarity Problems
• Expected Residual Minimization Method for Stochastic Linear Complementarity Problems
• A Barzilai-Borwein type method for stochastic linear complementarity problems
• Robust solution of monotone stochastic linear complementarity problems
• Existence of optimal solutions for general stochastic linear complementarity problems

Cites work

• scientific article; zbMATH DE number 3449561 (Why is no real title available?)
• A Smoothing Newton Method for Extended Vertical Linear Complementarity Problems
• A generalization of the Nash equilibrium theorem on bimatrix games
• A generalization of the linear complementarity problem
• Approximate Dynamic Programming
• Combined Monte Carlo sampling and penalty method for stochastic nonlinear complementarity problems
• Expected Residual Minimization Method for Stochastic Linear Complementarity Problems
• Generalizations of \(\mathbf P_ 0\)- and \(\mathbf P\)-properties; extended vertical and horizontal linear complementarity problems
• New reformulations for stochastic nonlinear complementarity problems
• New restricted NCP functions and their applications to stochastic NCP and stochastic MPEC
• Piecewise-Linear Theory of Nonlinear Networks
• Robust solution of monotone stochastic linear 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 variational inequalities: residual minimization smoothing sample average approximations
• The Generalized Order Linear Complementarity Problem
• The generalized Leontief input-output model and its application to the choice of new technology
• The generalized linear complementarity problem revisited

Cited in

(3)

• Stochastic \(R_0\) matrix linear complementarity problems: the Fischer-Burmeister function-based expected residual minimization
• ERM method for stochastic linear complementarity problem solution of the second-order cone
• Expected residual minimization formulation for stochastic absolute value equations

This page was built for publication: On the ERM formulation and a stochastic approximation algorithm of the stochastic-\(R_0\) EVLCP

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q490183)