A note on stability for risk-averse stochastic complementarity problems

DOI10.1007/S10957-016-1020-0zbMATH Open1390.90403OpenAlexW2528425526MaRDI QIDQ511981FDOQ511981

Authors: Johanna Burtscheidt, Matthias Claus 

Publication date: 23 February 2017

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-016-1020-0

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zbMATH Keywords

stabilityrisk aversionexpected residual minimizationnonlinear complementarity functionstochastic complementarity problem

Mathematics Subject Classification ID

Stochastic programming (90C15) Sensitivity, stability, parametric optimization (90C31) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)

Cites Work

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• Stochastic finance. An introduction in discrete time
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• Stochastic $R_0$ Matrix Linear Complementarity Problems
• Semismooth Newton Methods for Operator Equations in Function Spaces
• Expected Residual Minimization Method for Stochastic Linear Complementarity Problems
• Robust solution of monotone stochastic linear complementarity problems
• Smooth Approximations to Nonlinear Complementarity Problems
• Pricing American options with uncertain volatility through stochastic linear complementarity models
• Domains of weak continuity of statistical functionals with a view toward robust statistics
• Properties of expected residual minimization model for a class of stochastic complementarity problems
• Weak continuity of risk functionals with applications to stochastic programming
• Some aspects of stability in stochastic programming
• Properties and construction of NCP functions

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