A note on progressive hedging algorithm for multistage stochastic variational inequalities

DOI10.1016/J.AML.2024.109008MaRDI QIDQ6540950zbMATH OpenFDO

Authors Xihong Yan, Chuanlong Wang, Junfeng Yang

Publication date 17 May 2024

Published in Applied Mathematics Letters (Search for Journal in Brave)

zbMATH Keywords

stochastic variational inequalityprogressive hedging algorithmstochastic linear complementarity problemDouglas-Rachford operator splitting

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3341597 (Why is no real title available?)
• Monotone (nonlinear) operators in Hilbert space
• Monotone Operators and the Proximal Point Algorithm
• On the Douglas-Rachford splitting method and the proximal point algorithm for maximal monotone operators
• On the Numerical Solution of Heat Conduction Problems in Two and Three Space Variables
• Scenarios and Policy Aggregation in Optimization Under Uncertainty
• Solving monotone stochastic variational inequalities and complementarity problems by progressive hedging
• Splitting Algorithms for the Sum of Two Nonlinear Operators
• Stochastic variational inequalities: single-stage to multistage

Cited in

(2)

• A randomized progressive hedging algorithm for stochastic variational inequality
• A localized progressive hedging algorithm for solving nonmonotone stochastic variational inequalities

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