The distributionally robust complementarity problem
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Publication:5268944
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Cites work
- A Survey of the S-Lemma
- A framework for optimization under ambiguity
- Ambiguity in portfolio selection
- CVaR-based formulation and approximation method for stochastic variational inequalities
- CVaR-constrained stochastic programming reformulation for stochastic nonlinear complementarity problems
- Chance-constrained programming
- Combined Monte Carlo sampling and penalty method for stochastic nonlinear complementarity problems
- Constrained Stochastic LQC: A Tractable Approach
- Distributionally Robust Control of Constrained Stochastic Systems
- Distributionally Robust Convex Optimization
- Distributionally robust joint chance constraints with second-order moment information
- Distributionally robust optimization and its tractable approximations
- Distributionally robust optimization under moment uncertainty with application to data-driven problems
- Engineering and Economic Applications of Complementarity Problems
- Expected Residual Minimization Method for Stochastic Linear Complementarity Problems
- Feasible semismooth Newton method for a class of stochastic linear complementarity problems
- Finite-Dimensional Variational Inequalities and Complementarity Problems
- Finite-dimensional variational inequality and nonlinear complementarity problems: A survey of theory, algorithms and applications
- From CVaR to uncertainty set: implications in joint chance-constrained optimization
- Models and algorithms for distributionally robust least squares problems
- New reformulations for stochastic nonlinear complementarity problems
- On distributionally robust chance-constrained linear programs
- Robust portfolio optimization with derivative insurance guarantees
- Robust reward–risk ratio optimization with application in allocation of generation asset
- Robust solution of monotone stochastic linear complementarity problems
- Robust solutions to uncertain linear complementarity problems
- Sample-path solution of stochastic variational inequalities
- Solution properties and error bounds for semi-infinite complementarity problems
- Stochastic $R_0$ Matrix Linear Complementarity Problems
- Stochastic nonlinear complementarity problems: stochastic programming reformulation and penalty-based approximation method
- Stochastic variational inequalities: residual minimization smoothing sample average approximations
Cited in
(9)- Discrete approximation of two-stage stochastic and distributionally robust linear complementarity problems
- Distributionally robust expected residual minimization for stochastic variational inequality problems
- The distributionally robust optimization reformulation for stochastic complementarity problems
- On robust solutions to uncertain linear complementarity problems and their variants
- Distributionally robust variational inequalities: relaxation, quantification and discretization
- Affinely adjustable robust linear complementarity problems
- Linear complementarity problems with uncertain variables
- Robust solutions to uncertain linear complementarity problems
- Pure characteristics demand models and distributionally robust mathematical programs with stochastic complementarity constraints
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