CVaR-based formulation and approximation method for stochastic variational inequalities

DOI10.3934/NACO.2011.1.35zbMATH Open1246.90149OpenAlexW2327456105MaRDI QIDQ550504FDOQ550504

Authors: Guihua Lin, Xiaojun Chen 

Publication date: 11 July 2011

Published in: Numerical Algebra, Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/naco.2011.1.35

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zbMATH Keywords

convergencestochastic variational inequalitiesconditional value at risksmoothing approximationD-gap functionMonte Carlo sampling approximation

Mathematics Subject Classification ID

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

Cited In (17)

• The distributionally robust optimization reformulation for stochastic complementarity problems
• Convergence analysis of the approximation problems for solving stochastic vector variational inequality problems
• The distributionally robust complementarity problem
• Title not available (Why is that?)
• The deterministic ERM and CVaR reformulation for the stochastic generalized complementarity problem
• A smoothing sample average approximation method for stochastic optimization problems with CVaR risk measure
• CVaR-constrained stochastic programming reformulation for stochastic nonlinear complementarity problems
• Convergence analysis of weighted expected residual method for nonlinear stochastic variational inequality problems
• Stochastic optimization problems with CVaR risk measure and their sample average approximation
• Robust weighted expected residual minimization formulation for stochastic vector variational inequalities
• A new model for solving stochastic second-order cone complementarity problem and its convergence analysis
• Method of weighted expected residual for solving stochastic variational inequality problems
• Neural network smoothing approximation method for stochastic variational inequality problems
• Expected residual minimization method for stochastic variational inequality problems with nonlinear perturbations
• CVaR stochastic programming model for monotone stochastic tensor complementarity problem by using its penalized sample average approximation algorithm
• Probabilistic representation and approximation for coupled systems of variational inequalities
• Deterministic bicriteria model for stochastic variational inequalities

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