A note on stability for risk-averse stochastic complementarity problems

DOI10.1007/S10957-016-1020-0MaRDI QIDQ511981zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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• Weak continuity of risk functionals with applications to stochastic programming

Cited in

(1)

• Martingale characterizations of risk-averse stochastic optimization problems

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