A note on progressive hedging algorithm for multistage stochastic variational inequalities

DOI10.1016/J.AML.2024.109008zbMATH Open1546.90244MaRDI QIDQ6540950FDOQ6540950

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)

Cites Work

• On the Numerical Solution of Heat Conduction Problems in Two and Three Space Variables
• Splitting Algorithms for the Sum of Two Nonlinear Operators
• On the Douglas-Rachford splitting method and the proximal point algorithm for maximal monotone operators
• Monotone (nonlinear) operators in Hilbert space
• Monotone Operators and the Proximal Point Algorithm
• Title not available (Why is that?)
• Scenarios and Policy Aggregation in Optimization Under Uncertainty
• Stochastic variational inequalities: single-stage to multistage
• Solving monotone stochastic variational inequalities and complementarity problems by progressive hedging

This page was built for publication: A note on progressive hedging algorithm for multistage stochastic variational inequalities

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6540950)